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Speed of Convergence of the Maximum Likelihood Estimator in the Ornstein-Uhlenbeck Process

Calcutta Statistical Association Bulletin ◽

10.1177/0008068319950310 ◽

1995 ◽

Vol 45 (3-4) ◽

pp. 245-252 ◽

Author(s):

J. P. N. Bishwal ◽

Arup Bose

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimator ◽

Subject Classification ◽

Speed Of Convergence ◽

Primary 62F12 ◽

Likelihood Estimator ◽

Uhlenbeck Process ◽

Ornstein Uhlenbeck Process ◽

Drift Parameter

Berry-Bsseen bounds with random norming and Jario deviation probabilities arc derived for the maximum likelihood estimator of the drift parameter in tho Ornstoin-Uhlenbeck proccss. AMS (1991) Subject Classification: Primary 62F12, 62M05 Secondary 60FOS, 60F10

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