Optimal Berry-Esseen bound for an estimator of parameter in the Ornstein-Uhlenbeck process

DOI10.1016/j.jkss.2017.01.002zbMath1370.60045OpenAlexW2584917234MaRDI QIDQ2398411

Yoon Tae Kim, Hyun Suk Park

Publication date: 16 August 2017

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2017.01.002

zbMATH Keywords

Malliavin calculusOrnstein-Uhlenbeck processmaximum likelihood estimatorEdgeworth expansionmultiple stochastic integralBerry-Esseen bound

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Diffusion processes (60J60) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) (L^p)-limit theorems (60F25)

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Cites Work

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