Parameter estimation for the non-stationary Ornstein–Uhlenbeck process with linear drift

We study the asymptotic behaviors for estimators of the parameters in the non-stationary Ornstein–Uhlenbeck process with linear drift. The law of iterated logarithm and limiting distribution for the estimators are obtained. Copyright Springer-Verlag Berlin Heidelberg 2015

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Year of publication:	2015
Authors:	Jiang, Hui ; Dong, Xing
Published in:	Statistical Papers. - Springer. - Vol. 56.2015, 1, p. 257-268
Publisher:	Springer
Subject:	Law of iterated logarithm \| Maximum likelihood estimator \| Non-stationary Ornstein–Uhlenbeck process

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011151878