Berry–Esseen Asymptotics for Pearson Diffusions

Jaya P. N. Bishwal
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Jaya P. N. Bishwal: University of North Carolina at Charlotte, Department of Mathematics and Statistics

Chapter Chapter 11 in Parameter Estimation in Stochastic Volatility Models, 2022, pp 395-400 from Springer

Abstract: Abstract Using Malliavin calculus along with Stein’s equation, the chapter shows that the distribution of the maximum likelihood estimator of the drift parameter in the Pearson diffusion process observed over [0, T] converges to the standard normal distribution with an uniform error rate of the order O(T −1∕2). Then based on discrete observations, it obtains martingale estimation function estimators and studies their rate of weak convergence to normal distribution.

Date: 2022
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DOI: 10.1007/978-3-031-03861-7_11

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