An Edgeworth Expansion for the Ratio of Two Functionals of Gaussian Fields and Optimal Berry–Esseen Bounds

Yoon-Tae Kim and Hyun-Suk Park
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Yoon-Tae Kim: Department of Statistics and Data Science Convergence Research Center, Hallym University, Chuncheon 200-702, Korea
Hyun-Suk Park: Department of Statistics and Data Science Convergence Research Center, Hallym University, Chuncheon 200-702, Korea

Mathematics, 2021, vol. 9, issue 18, 1-23

Abstract: This paper is concerned with the rate of convergence of the distribution of the sequence { F n / G n } , where F n and G n are each functionals of infinite-dimensional Gaussian fields. This form very frequently appears in the estimation problem of parameters occurring in Stochastic Differential Equations (SDEs) and Stochastic Partial Differential Equations (SPDEs). We develop a new technique to compute the exact rate of convergence on the Kolmogorov distance for the normal approximation of F n / G n . As a tool for our work, an Edgeworth expansion for the distribution of F n / G n , with an explicitly expressed remainder, will be developed, and this remainder term will be controlled to obtain an optimal bound. As an application, we provide an optimal Berry–Esseen bound of the Maximum Likelihood Estimator (MLE) of an unknown parameter appearing in SDEs and SPDEs.

Keywords: Malliavin calculus; fourth moment theorem; Kolmogorov distance; multiple stochastic integral; Stein’s equation; Edgeworth expansion; stochastic (partial) differential equations; Berry–Esseen bound (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2021
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