Berry--Esseen bounds and the law of the iterated logarithm for estimators of parameters in an Ornstein--Uhlenbeck process with linear drift

Hui Jiang

doi:10.1239/jap/1354716652

Abstract

We study the asymptotic behaviors of estimators of the parameters in an Ornstein--Uhlenbeck process with linear drift, such as the law of the iterated logarithm (LIL) and Berry--Esseen bounds. As an application of the Berry--Esseen bounds, the precise rates in the LIL for the estimators are obtained.

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Hui Jiang. "Berry--Esseen bounds and the law of the iterated logarithm for estimators of parameters in an Ornstein--Uhlenbeck process with linear drift." J. Appl. Probab. 49 (4) 978 - 989, December 2012. https://doi.org/10.1239/jap/1354716652

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Published: December 2012

First available in Project Euclid: 5 December 2012

zbMATH: 1293.60039

MathSciNet: MR3058983

Digital Object Identifier: 10.1239/jap/1354716652

Subjects:

Primary: 60F15 , 60G50 , 62N02

Keywords: Berry--Esseen bound , Law of the iterated logarithm , maximum likelihood estimator , Ornstein--Uhlenbeck process , precise rate

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