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

Baobin Wang, Hui Jiang and Jinyou Yu

Statistics & Probability Letters, 2011, vol. 81, issue 8, 921-929

Abstract: 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 . 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.

Keywords: Berry-Esseen; bound; Inhomogeneous; diffusion; Law; of; iterated; logarithm; Precise; asymptotics (search for similar items in EconPapers)
Date: 2011
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