Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1152916 | Statistics & Probability Letters | 2009 | 8 Pages |
Abstract
Given discrete samples from Ornstein–Uhlenbeck processes, we consider two kinds of approximated MLE’s for the drift parameter, which are asymptotically efficient in ergodic case. Our interest is the rate of convergence of those estimators when the process is non-recurrent. We add a remark when the underlying process has a slightly more general drift.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Yasutaka Shimizu,