Berry-Esseen bound for parameter estimation in some time inhomogeneous diffusions and applications

In this paper, we study the Berry-Esseen bound of the distribution of the maximum likelihood estimation in some inhomogeneous diffusions. We prove that it converges to the normal distribution with an error rate . Moreover, the obtained Berry-Esseen bound can be applied to study the precise asymptotics in the law of iterated logarithm for the maximum likelihood estimation.

MoreLess

Year of publication:	2011
Authors:	Wang, Baobin ; Jiang, Hui ; Yu, Jinyou
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 81.2011, 8, p. 921-929
Publisher:	Elsevier
Keywords:	Berry-Esseen bound Inhomogeneous diffusion Law of iterated logarithm Precise asymptotics

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009143265