TY - JOUR
T1 - Notes on drift estimation for certain non-recurrent diffusion processes from sampled data
AU - Shimizu, Yasutaka
N1 - Funding Information:
The author expresses many thanks to the associate editor and an anonymous referee for their helpful comments and exact suggestions which improved this paper. This research was partially supported by the Ministry of Education, Science, Sports and Culture, Grant-in-Aid for Young Scientists (B), 2009, no. 21740073, and by a Mirai Labo grant.
PY - 2009/10/15
Y1 - 2009/10/15
N2 - 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.
AB - 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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U2 - 10.1016/j.spl.2009.07.015
DO - 10.1016/j.spl.2009.07.015
M3 - Article
AN - SCOPUS:70149120709
SN - 0167-7152
VL - 79
SP - 2200
EP - 2207
JO - Statistics and Probability Letters
JF - Statistics and Probability Letters
IS - 20
ER -