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

Abstract

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

Keywords

Stochastic differential equation Ornstein-Uhlenbeck process Maximum likelihood estimator Borry-Esseen bound Large deviation Ito formula Bsseen's lemma Random norming

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