Mishra, M. N. ; Prakasa Rao, B. L. S. (1985) On the Berry-Esseen bound for maximum likelihood estimator for linear homogeneous diffusion processes Sankhya - Series A, 47 (3). pp. 392-398. ISSN 0581-572X
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Official URL: http://www.jstor.org/pss/25050556
Abstract
The paper is concerned with the study of the rate of convergence of the distribution of a maximum likelihood estimator (MLE) of an unknown parameter in the drift coefficient of diffusion process described by a linear homogeneous stochastic differential equation. A bound on the rate of convergence of MLE to the true parameter is given.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Indian Statistical Institute. |
| ID Code: | 73742 |
| Deposited On: | 07 Dec 2011 05:34 |
| Last Modified: | 07 Dec 2011 05:34 |
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