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Rates of weak convergence of approximate minimum contrast estimators for the discretely observed Ornstein-Uhlenbeck process

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  • Bishwal, Jaya P.N.

Abstract

The paper introduces some new approximate minimum contrast estimators of the drift parameter in the Ornstein-Uhlenbeck process based on discretely sampled data and obtains rates of weak convergence of the distributions of the estimators to the standard normal distribution using random, nonrandom and mixed normings.

Suggested Citation

  • Bishwal, Jaya P.N., 2006. "Rates of weak convergence of approximate minimum contrast estimators for the discretely observed Ornstein-Uhlenbeck process," Statistics & Probability Letters, Elsevier, vol. 76(13), pages 1397-1409, July.
    • Handle: RePEc:eee:stapro:v:76:y:2006:i:13:p:1397-1409
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    References listed on IDEAS

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    1. Bishwal, J. P. N., 2001. "Accuracy of normal approximation for the maximum likelihood estimator and Bayes estimators in the Ornstein-Uhlenbeck process using random normings," Statistics & Probability Letters, Elsevier, vol. 52(4), pages 427-439, May.
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