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

作者：Jiang, Hui^*; Lin, Qihao; Wang, Shaochen

来源：Journal of Applied Probability, 2024.

DOI：10.1017/jpr.2023.100

• Berry-Esseen bound
• maximum likelihood estimator
• Jacobi process
• Cramer-type moderate deviation

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 Cramer-type moderate deviation for the corresponding maximum likelihood estimator are obtained.

• 单位
  南京航空航天大学