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.
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Volume (Year): 81 (2011)
Issue (Month): 8 (August)
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