Wasserstein bounds in CLT of approximative MCE and MLE of the drift parameter for Ornstein-Uhlenbeck processes observed at high frequency

Abstract

This paper deals with the rate of convergence for the central limit theorem of estimators of the drift coefficient, denoted $θ$, for a Ornstein-Uhlenbeck process $X \coloneqq \{X_t,t\geq0\}$ observed at high frequency. We provide an Approximate minimum contrast estimator and an approximate maximum likelihood estimator of $θ$, namely $\widetildeθ_{n}\coloneqq {1}/{\left(\frac{2}{n} \sum_{i=1}^{n}X_{t_{i}}^{2}\right)}$, and $\widehatθ_{n}\coloneqq -{\sum_{i=1}^{n} X_{t_{i-1}}\left(X_{t_{i}}-X_{t_{i-1}}\right)}/{\left(Δ_{n} \sum_{i=1}^{n} X_{t_{i-1}}^{2}\right)}$, respectively, where $ t_{i} = i Δ_{n}$, $ i=0,1,\ldots, n $, $Δ_{n}\rightarrow 0$. We provide Wasserstein bounds in central limit theorem for $\widetildeθ_{n}$ and $\widehatθ_{n}$.