Large Deviations and Berry–Esseen Inequalities for Estimators in Nonlinear Nonhomogeneous Diffusions

Large Deviations and Berry–Esseen Inequalities for Estimators in Nonlinear Nonhomogeneous Diffusions

Bounds on the large deviations probability of the maximum likelihood estimator and regular Bayes estimators, and Berry–Esseen type bound for the suitably normalized maximum likelihood estimator of a parameter appearing nonlinearly in the nonhomogeneous drift coefficient of Itˆo stochastic different...

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Bibliografski detalji
Glavni autor: Jaya P.N. Bishwal
Format: Članak
Jezik:English
Izdano: Instituto Nacional de Estatística | Statistics Portugal 2007-12-01
Serija:Revstat Statistical Journal
Teme:
nonhomogeneous diffusion processes
Itô stochastic differential equation
drift parameter
maximum likelihood estimator
Bayes estimators
large deviations probability
Online pristup:https://revstat.ine.pt/index.php/REVSTAT/article/view/51

Internet

https://revstat.ine.pt/index.php/REVSTAT/article/view/51

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