Optimal Berry-Esséen bound for maximum likelihood estimation of the drift parameter in -Brownian bridge

DOI10.1007/S42952-020-00084-3MaRDI QIDQ2131995zbMATH OpenOpenAlexFDO

Authors K. Es-Sebaiy, Jabrane Moustaaid

Publication date 27 April 2022

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

Full work available at URL https://arxiv.org/abs/2005.06905

zbMATH Keywords

\( \alpha \)-Brownian bridgeKolmogorov distanceMalliavin calculusMLErate of convergence

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic calculus of variations and the Malliavin calculus (60H07) Jump processes on general state spaces (60J76) Asymptotic properties of parametric estimators (62F12)

Abstract: Let $T>0,alpha>frac12$. In the present paper we consider the $alpha$-Brownian bridge defined as $d{X}_t=-alphafrac{X}_{t}T-tdt+d{W}_t,0leqt<T$, where $W$ is a standard Brownian motion. We investigate the optimal rate of convergence to normality of the maximum likelihood estimator (MLE) for the parameter $alpha$ based on the continuous observation $X_s,0leqsleqt$ as $tuparrowT$. We prove that an optimal rate of Kolmogorov distance for central limit theorem on the MLE is given by $frac1sqrt|log(T-t)|$, as $tuparrowT$. First we compute an upper bound and then find a lower bound with the same speed using Corollary 1 and Corollary 2 of cite{kp-JVA}, respectively.

Recommendations

• Asymptotic behaviours for maximum likelihood estimator of drift parameter in -Wiener bridge process
• On the large deviation principle for maximum likelihood estimator of -Brownian bridge
• Bias-correction of the maximum likelihood estimator for the -Brownian bridge
• Optimal Berry-Esseen bound for an estimator of parameter in the Ornstein-Uhlenbeck process
• Large deviation expansion for maximum-likelihood estimator of α −Brownian bridge

Cites work

• Asymptotic behavior of maximum likelihood estimator for time inhomogeneous diffusion processes
• Bias-correction of the maximum likelihood estimator for the -Brownian bridge
• Normal approximations with Malliavin calculus. From Stein's method to universality
• On a one-parameter generalization of the Brownian bridge and associated quadratic functionals
• Optimal Berry-Esseen bound for an estimator of parameter in the Ornstein-Uhlenbeck process
• Optimal Berry-Esseen bound for statistical estimations and its application to SPDE
• Parameter estimation for -fractional bridges
• Sharp Berry-Esseen bound for the maximum likelihood estimator in the Ornstein-Uhlenbeck process
• The Malliavin Calculus and Related Topics

Cited in

(9)

• On the large deviation principle for maximum likelihood estimator of -Brownian bridge
• Bias-correction of the maximum likelihood estimator for the -Brownian bridge
• Asymptotic behaviours for maximum likelihood estimator of drift parameter in -Wiener bridge process
• Explicit formulas for Laplace transforms of certain functionals of some time inhomogeneous diffusions
• Large deviation expansion for maximum-likelihood estimator of α −Brownian bridge
• Berry-Esseen bounds for approximate maximum likelihood estimators in the -Brownian bridge
• Least squares estimation for fractional Brownian bridge with linear drift
• An exponential non-uniform Berry-Esseen bound of some time inhomogeneous diffusion process
• An improved Kolmogorov bound for approximate maximum likelihood estimators for the -Brownian bridge

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