Asymptotic behaviours for maximum likelihood estimator of drift parameter in α-Wiener blidge process

摘要

In this paper, we study the asymptotic behaviour, including Cramer-type moderate deviations and optimal Berry-Esseen bounds for maximum likelihood estimator of drift parameter in a-Wiener bridge process. For statistical practice, a self-normalized version asymptotic result for the maximum like-lihood estimator is also established. Numerical simulations show that our new established maximum likelihood estimator-based test statistic outperforms than the moment estimator-based test statistic and the likelihood ratio test statistic in literature.

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