Notes on drift estimation for certain non-recurrent diffusion processes from sampled data

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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Year of publication:	2009
Authors:	Shimizu, Yasutaka
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 79.2009, 20, p. 2200-2207
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008474302