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- Title
Large deviations and Berry–Esseen inequalities for estimators in nonhomogeneous diffusion driven by fractional Brownian motion.
- Authors
Tanoh, Kouacou; N'zi, Modeste; Yodé, Armel Fabrice
- Abstract
We are interested in bounds on the large deviations probability and Berry–Esseen type inequalities for maximum likelihood estimator and Bayes estimator of the parameter appearing linearly in the drift of nonhomogeneous stochastic differential equation driven by fractional Brownian motion.
- Subjects
WIENER processes; BROWNIAN motion; LARGE deviations (Mathematics); BAYES' estimation; STOCHASTIC differential equations; FRACTIONAL differential equations
- Publication
Random Operators & Stochastic Equations, 2020, Vol 28, Issue 3, p183
- ISSN
0926-6364
- Publication type
Article
- DOI
10.1515/rose-2020-2037