Berry-Esseen bound for parameter estimation in some time inhomogeneous diffusions and applications
AbstractIn 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 81 (2011)
Issue (Month): 8 (August)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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