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

DOI10.1016/j.spl.2011.04.002zbMath1218.62084OpenAlexW1992635110MaRDI QIDQ552974

Jinyou Yu, Baobin Wang, Hui Jiang

Publication date: 26 July 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.04.002

zbMATH Keywords

law of iterated logarithmprecise asymptotics

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Inequalities; stochastic orderings (60E15) Markov processes: estimation; hidden Markov models (62M05) Strong limit theorems (60F15) Diffusion processes (60J60)

Cites Work

• Explicit formulas for Laplace transforms of certain functionals of some time inhomogeneous diffusions
• Large deviations inequalities for the maximum likelihood estimator and the Bayes estimators in nonlinear stochastic differential equations
• Precise asymptotics in the Baum-Katz and Davis laws of large numbers
• Precise asymptotics in the law of the iterated logarithm.
• Asymptotic behavior of maximum likelihood estimator for time inhomogeneous diffusion processes
• Moderate deviations for parameter estimation in some time inhomogeneous diffusions
• Precise rates in the law of logarithm for i.i.d. random variables
• Precise asymptotics in the self-normalized law of the iterated logarithm
• The Berry-Esseen bound for minimum contrast estimates
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