Article ID Journal Published Year Pages File Type
1152916 Statistics & Probability Letters 2009 8 Pages PDF
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.

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Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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