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


  • Wang, Baobin
  • Jiang, Hui
  • Yu, Jinyou


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.

Suggested Citation

  • Wang, Baobin & Jiang, Hui & Yu, Jinyou, 2011. "Berry-Esseen bound for parameter estimation in some time inhomogeneous diffusions and applications," Statistics & Probability Letters, Elsevier, vol. 81(8), pages 921-929, August.
  • Handle: RePEc:eee:stapro:v:81:y:2011:i:8:p:921-929

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    References listed on IDEAS

    1. Löwe, Matthias, 1996. "Simulated annealing with time-dependent energy function via Sobolev inequalities," Stochastic Processes and their Applications, Elsevier, vol. 63(2), pages 221-233, November.
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