{"title":"An exponential nonuniform Berry–Esseen bound of the maximum likelihood estimator in a Jacobi process","authors":"Hui Jiang, Qihao Lin, Shaochen Wang","doi":"10.1017/jpr.2023.100","DOIUrl":null,"url":null,"abstract":"We establish the exponential nonuniform Berry–Esseen bound for the maximum likelihood estimator of unknown drift parameter in an ultraspherical Jacobi process using the change of measure method and precise asymptotic analysis techniques. As applications, the optimal uniform Berry–Esseen bound and optimal Cramér-type moderate deviation for the corresponding maximum likelihood estimator are obtained.","PeriodicalId":50256,"journal":{"name":"Journal of Applied Probability","volume":null,"pages":null},"PeriodicalIF":0.7000,"publicationDate":"2024-02-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Applied Probability","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1017/jpr.2023.100","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
引用次数: 0
Abstract
We establish the exponential nonuniform Berry–Esseen bound for the maximum likelihood estimator of unknown drift parameter in an ultraspherical Jacobi process using the change of measure method and precise asymptotic analysis techniques. As applications, the optimal uniform Berry–Esseen bound and optimal Cramér-type moderate deviation for the corresponding maximum likelihood estimator are obtained.
期刊介绍：
Journal of Applied Probability is the oldest journal devoted to the publication of research in the field of applied probability. It is an international journal published by the Applied Probability Trust, and it serves as a companion publication to the Advances in Applied Probability. Its wide audience includes leading researchers across the entire spectrum of applied probability, including biosciences applications, operations research, telecommunications, computer science, engineering, epidemiology, financial mathematics, the physical and social sciences, and any field where stochastic modeling is used.
A submission to Applied Probability represents a submission that may, at the Editor-in-Chief’s discretion, appear in either the Journal of Applied Probability or the Advances in Applied Probability. Typically, shorter papers appear in the Journal, with longer contributions appearing in the Advances.
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
