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

Khalifa Es-Sebaiy, Fares Alazemi, Mishari Al-Foraih

This paper deals with the rate of convergence for the central limit theorem of estimators of the drift coefficient, denoted $\theta$, for a Ornstein-Uhlenbeck process $X \coloneqq \{X_t…