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

DOI10.1016/J.SPL.2011.04.002MaRDI QIDQ552974zbMATH OpenOpenAlexFDO

Authors Baobin Wang, Jinyou Yu, 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) Markov processes: estimation; hidden Markov models (62M05) Asymptotic distribution theory in statistics (62E20) Inequalities; stochastic orderings (60E15) Diffusion processes (60J60) Strong limit theorems (60F15)

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Cites work

• scientific article; zbMATH DE number 3928138 (Why is no real title available?)
• scientific article; zbMATH DE number 3960811 (Why is no real title available?)
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 3992651 (Why is no real title available?)
• Asymptotic behavior of maximum likelihood estimator for time inhomogeneous diffusion processes
• 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
• Moderate deviations for parameter estimation in some time inhomogeneous diffusions
• Precise asymptotics in the Baum-Katz and Davis laws of large numbers
• Precise asymptotics in the law of the iterated logarithm.
• Precise asymptotics in the self-normalized law of the iterated logarithm
• Precise rates in the law of logarithm for i.i.d. random variables
• Sharp Berry-Esseen bound for the maximum likelihood estimator in the Ornstein-Uhlenbeck process
• The Berry-Esseen bound for minimum contrast estimates

Cited in

(8)

• Berry-Esseen bounds for kernel estimates of stationary processes
• scientific article; zbMATH DE number 5372264 (Why is no real title available?)
• Berry-Esseen inequalities for discretely observed diffusions
• An exponential nonuniform Berry-Esseen bound of the maximum likelihood estimator in a Jacobi process
• Berry–Esseen Bounds and the Law of the Iterated Logarithm for Estimators of Parameters in an Ornstein–Uhlenbeck Process with Linear Drift
• Berry-Esseen type bound of a sequence \(\left\{\frac{X_N}{Y_N}\right\}\) and its application
• scientific article; zbMATH DE number 3960811 (Why is no real title available?)
• Optimal Berry-Esseen bound for statistical estimations and its application to SPDE

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