Optimal Berry-Esseen bound for an estimator of parameter in the Ornstein-Uhlenbeck process
DOI10.1016/j.jkss.2017.01.002zbMath1370.60045OpenAlexW2584917234MaRDI QIDQ2398411
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
Malliavin calculusOrnstein-Uhlenbeck processmaximum likelihood estimatorEdgeworth expansionmultiple stochastic integralBerry-Esseen bound
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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