Berry–Esseen inequalities for discretely observed diffusions

DOI10.1515/MCMA.2009.013zbMath1179.60011MaRDI QIDQ3654437

Jaya P. N. Bishwal

Publication date: 6 January 2010

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

zbMATH Keywords

diffusion processdiscrete observationsItô stochastic differential equationconditional least squares estimatorapproximate maximum likelihood estimatorsmoderately increasing experimental design

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Bayesian inference (62F15) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60) Large deviations (60F10)

Related Items (1)

Berry-Esseen inequalities for the fractional Black-Karasinski model of term structure of interest rates

Cites Work

• The consistency of a nonlinear least squares estimator from diffusion processes
• Estimation for diffusion processes from discrete observation
• A note on asymptotic properties of the estimator derived from the Euler method for diffusion processes at discrete times
• Rates of convergence of approximate maximum likelihood estimators in the Ornstein-Uhlenbeck process

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