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

被引：1

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.

引用

页码：921 / 929

页数：9

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