Mishra, M. N. ; Prakasa Rao, B. L. S. (2007) On Berry-Esseen type bound for least squares estimator for diffusion processes based on discrete observations International Journal of Statistics and Management System, 2 . pp. 1-21. ISSN 0973-7359
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Official URL: http://www.isid.ac.in/~statmath/eprints/2002/isid2...
Abstract
The paper is concerned with the distribution of the least squares estimator (LSE) of the drift parameter in the stochastic differential equation (SDE) of small diffusion observed over discrete set of time points. Convergence of the distribution of the least squares estimator to the standard normal distribution with an error bound has been obtained when the discretization step decreases with noise intensity.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Serials Publications. |
| Keywords: | Ito Stochastic Differential Equation; Berry-Esseen Bound; Least Squares Estimator |
| ID Code: | 73754 |
| Deposited On: | 07 Dec 2011 05:35 |
| Last Modified: | 07 Dec 2011 05:35 |
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