An Exponential Nonuniform Berry–Esseen Bound for the Fractional Ornstein–Uhlenbeck Process

Jiang, Hui; Zhou, Jingying

doi:10.1007/s10959-022-01194-w

Search citation statements

Order By: Relevance

Paper Sections

Select...

Introduction1

Citation Types

Supporting

Mentioning

Contrasting

Year Published

2023

2024

Publication Types

Select...

Preprint1

Article1

Relationship

Self Cite1

Independent1

Authors

Journals

Cited by 2 publications

(1 citation statement)

References 37 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…This local bound provides more accurate information than the Berry-Esseen bound, see Theorem 2.1, Corollary 2.1, Theorem 2.2 and Corollary 2.2 in Section 2. Our approach is based on the change of measure method ( [30], [32]) and a fine asymptotic analysis techniques ( [18]).…”

Section: Introductionmentioning

confidence: 99%

Berry-Esseen bound and Cramér-type moderate deviations of drift estimation in SPDEs driven by additive noise

Jiang,

Zhou

2023

Preprint

Self Cite

View full text Add to dashboard Cite

In this paper, we study the asymptotic properties for the maximum likelihood estimator (MLE) of the drift estimationin a stochastic fractional heat equation driven by additive noise. Via the change of measure method and asymptotic analysis technique, we establish the exponential nonuniform Berry-Esseen bound and (self-normalized) Cram\'er-type moderate deviation for the MLE in three asymptotic regimes: large timeasymptotics, increasing number of Fourier modes, large time asymptotics and increasing number of Fourier modes. MSC Classification: 60F10 , 60H15 , 62F12 , 62M05

show abstract

Section: Introductionmentioning

confidence: 99%

Berry-Esseen bound and Cramér-type moderate deviations of drift estimation in SPDEs driven by additive noise

Jiang,

Zhou

2023

Preprint

Self Cite

View full text Add to dashboard Cite

show abstract

An exponential nonuniform Berry–Esseen bound of the maximum likelihood estimator in a Jacobi process

Jiang,

Lin,

Wang

2024

J. Appl. Probab.

View full text Add to dashboard Cite

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.

show abstract

An Exponential Nonuniform Berry–Esseen Bound for the Fractional Ornstein–Uhlenbeck Process

Cited by 2 publications

References 37 publications

Berry-Esseen bound and Cramér-type moderate deviations of drift estimation in SPDEs driven by additive noise

Berry-Esseen bound and Cramér-type moderate deviations of drift estimation in SPDEs driven by additive noise

An exponential nonuniform Berry–Esseen bound of the maximum likelihood estimator in a Jacobi process

Contact Info

Product

Resources

About