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An exponential nonuniform Berry–Esseen bound of the maximum likelihood estimator in a Jacobi process
Published online by Cambridge University Press: 14 February 2024
Abstract
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 Cramér-type moderate deviation for the corresponding maximum likelihood estimator are obtained.
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- © The Author(s), 2024. Published by Cambridge University Press on behalf of Applied Probability Trust