Publications and Preprints
On Berry-Esseen type bound for least squares estimator for diffusion processes based on discrete observations
M. N. Mishra and B. L. S. Prakasa Rao
The paper is concerned with the distribution of the least squares estimator (LSE) of the drift parameter in the stochastic differential equation (SDE) of small
diffusion observed over discrete set of time points. Convergence of the distribution of
the least squares estimator to the standard normal distribution with an error bound has
been obtained when the discretization step decreases with noise intensity.
Click here to return to Preprints Page