Convergence rate of maximum likelihood estimator of parameter in stochastic partial differential equation

2015 ◽  
Vol 44 (2) ◽  
pp. 312-320 ◽  
Author(s):  
Yoon Tae Kim ◽  
Hyun Suk Park
Keyword(s):  
Differential Equation ◽  
Partial Differential Equation ◽  
Maximum Likelihood ◽  
Convergence Rate ◽  
Maximum Likelihood Estimator ◽  
Stochastic Partial Differential Equation ◽  
Likelihood Estimator ◽  
Partial Differential

Large deviations and Berry–Esseen inequalities for estimators in nonhomogeneous diffusion driven by fractional Brownian motion

2020 ◽  
Vol 28 (3) ◽  
pp. 183-196
Author(s):  
Kouacou Tanoh ◽  
Modeste N’zi ◽  
Armel Fabrice Yodé
Keyword(s):  
Differential Equation ◽  
Brownian Motion ◽  
Maximum Likelihood ◽  
Large Deviations ◽  
Stochastic Differential Equation ◽  
Fractional Brownian Motion ◽  
Maximum Likelihood Estimator ◽  
Bayes Estimator ◽  
Likelihood Estimator

AbstractWe are interested in bounds on the large deviations probability and Berry–Esseen type inequalities for maximum likelihood estimator and Bayes estimator of the parameter appearing linearly in the drift of nonhomogeneous stochastic differential equation driven by fractional Brownian motion.

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