Large deviations and Berry–Esseen inequalities for estimators in nonhomogeneous diffusion driven by fractional Brownian motion
2020 ◽
Vol 28
(3)
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pp. 183-196
Keyword(s):
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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