Research Communication | Open Access
Volume 2021 | Communication ID 19
Volume 2021 | Communication ID 19
| Rate of Convergence of Maximum likelihood estimation of the drift parameter in a-Brownian bridge |
Jabrane Moustaaid, Khalifa Es-Sebaiy
Received |
Accepted |
Published |
January 13, 2021 |
January 31, 2021 |
March 15, 2021 |
Abstract: We consider the α-Brownian bridge process X. An example of interesting problem related to X is the statistical estimation of the drift α when one observes the whole trajectory of X. A natural candidate is the maximum likelihood estimator (MLE). For more information and further references concerning the subject, we refer the reader to [1], as well as [4] and [2]. The aim of this communication is to provide, when α > 1/2, an optimal rate of Kolmogorov distance for central limit theorem of the MLE.