On the Kolmogorov Distance for the Maximum Likelihood Estimator in the Explosive Ornstein-Uhlenbeck Process
The paper estimates the Kolmogorov distance between the distribution of the normalized maximum likelihood estimator of the positive drift parameter in the nonergodic Ornstein-Uhlenbeck process and the standard Cauchy distribution and shows exponential error rate for large time limit.
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| Format: | Article |
| Language: | English |
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Ada Academica
2023-10-01
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| Series: | European Journal of Mathematical Analysis |
| Online Access: | https://adac.ee/index.php/ma/article/view/179 |