An improved Kolmogorov bound for approximate maximum likelihood estimators for the α-Brownian bridge
Year: 2025
Type: article
Abstract: We derive a new explicit upper bound of the Kolmogorov distance for the rates of convergence of the distribution of two approximative maximum likelihood estimators of the drift coefficient in a discretely-observed α -Brownian bridge. Specifically, we provide an upper bound that is strictly sharper than the one available in the literature in (Es-Sebaiy et al. in J. Stoch. Anal. 2(2):8, 2021 ). Moreover, we obtain a bound that is potentially of the same order as the optimal bound obtained by (Es-Sebaiy and Moustaaid in J. Korean Stat. Soc. 50:403–418, 2021 ) in the case of continuous observations.
Authors: Mishari Al-Foraih, Khalifa Es-Sebaiy
Institution: Kuwait University
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: gold
Estimated APC paid: $2,190
OpenAlex ID: W4415585403