Berry-Esseen Inequalities for the Discretely Observed Ornstein-Uhlenbeck-Gamma Process
2011, v.17, №1, 119-150
One obtains the Ornstein - Uhlenbeck - Gamma process when the Brownian component of the Ornstein - Uhlenbeck process is contaminated by a Gamma process. The paper introduces some new estimators of the drift parameter in the Ornstein - Uhlenbeck - Gamma process based on discretely sampled data and obtains rates of weak convergence of the distributions of the estimators to the standard normal distribution using random, nonrandom and mixed normings.
Keywords: Ito stochastic differential equation,Ornstein - Uhlenbeck - Gamma process,jump diffusion,infinite activity,approximate maximum likelihood estimator,rate of weak convergence,Fourier method