Asymptotic behaviours for maximum likelihood estimator of drift parameter in α-Wiener bridge process. Issue 5 (3rd September 2022)

• Record Type: Journal Article
• Authors: Jiang, Hui; Shao, Jin; Wang, Shaochen
• Is Part Of: Statistics. Volume 56:Issue 5(2022)
• Page Start: 1048
• Page End: 1071
• Publication Date: 2022-09-03
• Subjects: Berry-Esseen bounds -- cramér-type moderate deviations -- edgeworth expansion -- α-Wiener bridge -- multiple Wiener-Itô integrals; 62N02 -- 60F15 -- 60G50; Mathematical statistics -- Periodicals; 519.505
• DOI: 10.1080/02331888.2022.2120878
• Languages: English
• ISSNs: 0233-1888

Abstract

ABSTRACT: In this paper, we study the asymptotic behaviour, including Cramér-type moderate deviations and optimal Berry-Esseen bounds for maximum likelihood estimator of drift parameter in α -Wiener bridge process. For statistical practice, a self-normalized version asymptotic result for the maximum likelihood 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.