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

被引：0
|
作者：
Wang, Baobin [1 ]
Jiang, Hui [2 ]
Yu, Jinyou [3 ]
机构：
[1] Cent S Univ Nationalities, Sch Math & Stat, Wuhan 430074, Peoples R China
[2] Nanjing Univ Aeronaut & Astronaut, Sch Sci, Nanjing 210016, Peoples R China
[3] Wuhan Univ, Sch Math & Stat, Wuhan 430072, Peoples R China
来源：
STATISTICS & PROBABILITY LETTERS | 2011年 / 81卷 / 08期
基金：
中国国家自然科学基金;
关键词：
Berry-Esseen bound; Inhomogeneous diffusion; Law of iterated logarithm; Precise asymptotics; MAXIMUM-LIKELIHOOD ESTIMATOR; PRECISE ASYMPTOTICS; ITERATED LOGARITHM; LAW;
D O I：
10.1016/j.spl.2011.04.002
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper, we study the Berry-Esseen bound of the distribution of the maximum likelihood estimation in some inhomogeneous diffusions. We prove that it converges to the normal distribution with an error rate 0((- log integral(T)(t) sigma(2)(s)ds)(-1/2)). Moreover, the obtained Berry-Esseen bound can be applied to study the precise asymptotics in the law of iterated logarithm for the maximum likelihood estimation. (C) 2011 Elsevier B.V. All rights reserved.
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页码：921 / 929
页数：9
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