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Berry–Esseen Bounds and the Law of the Iterated Logarithm for Estimators of Parameters in an Ornstein–Uhlenbeck Process with Linear Drift
Part of
Hui Jiang
Journal:

Journal of Applied Probability / Volume 49 / Issue 4 / December 2012

Published online by Cambridge University Press:

30 January 2018, pp. 978-989

Print publication:

December 2012
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We study the asymptotic behaviors of estimators of the parameters in an Ornstein–Uhlenbeck process with linear drift, such as the law of the iterated logarithm (LIL) and Berry–Esseen bounds. As an application of the Berry–Esseen bounds, the precise rates in the LIL for the estimators are obtained.

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Berry–Esseen Bounds and the Law of the Iterated Logarithm for Estimators of Parameters in an Ornstein–Uhlenbeck Process with Linear Drift