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<p>In this paper, we study the exponential non-uniform Berry-Esseen bound for the maximum likelihood estimator of some time inhomogeneous diffusion process. As applications, the optimal uniform Berry-Esseen bound and optimal Cramér-type moderate deviations of the Ornstein-Uhlenbeck process and <i>α</i>-Brownian bridge can be obtained. The main methods are the change of measure method and asymptotic analysis technique.</p>

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An exponential non-uniform Berry-Esseen bound of some time inhomogeneous diffusion process

  • 期刊论文

  • 发表日期：

    2025年6月20日

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  • Qiaojing Liu,
  • Yaqian Lv,
  • Baobin Wang

摘要

In this paper, we study the exponential non-uniform Berry-Esseen bound for the maximum likelihood estimator of some time inhomogeneous diffusion process. As applications, the optimal uniform Berry-Esseen bound and optimal Cramér-type moderate deviations of the Ornstein-Uhlenbeck process and α-Brownian bridge can be obtained. The main methods are the change of measure method and asymptotic analysis technique.