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An Edgeworth Expansion for the Ratio of Two Functionals of Gaussian Fields and Optimal Berry–Esseen Bounds

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  • Yoon-Tae Kim

    (Department of Statistics and Data Science Convergence Research Center, Hallym University, Chuncheon 200-702, Korea)

  • Hyun-Suk Park

    (Department of Statistics and Data Science Convergence Research Center, Hallym University, Chuncheon 200-702, Korea)

Abstract

This paper is concerned with the rate of convergence of the distribution of the sequence { F n / G n } , where F n and G n are each functionals of infinite-dimensional Gaussian fields. This form very frequently appears in the estimation problem of parameters occurring in Stochastic Differential Equations (SDEs) and Stochastic Partial Differential Equations (SPDEs). We develop a new technique to compute the exact rate of convergence on the Kolmogorov distance for the normal approximation of F n / G n . As a tool for our work, an Edgeworth expansion for the distribution of F n / G n , with an explicitly expressed remainder, will be developed, and this remainder term will be controlled to obtain an optimal bound. As an application, we provide an optimal Berry–Esseen bound of the Maximum Likelihood Estimator (MLE) of an unknown parameter appearing in SDEs and SPDEs.

Suggested Citation

  • Yoon-Tae Kim & Hyun-Suk Park, 2021. "An Edgeworth Expansion for the Ratio of Two Functionals of Gaussian Fields and Optimal Berry–Esseen Bounds," Mathematics, MDPI, vol. 9(18), pages 1-23, September.
    • Handle: RePEc:gam:jmathe:v:9:y:2021:i:18:p:2223-:d:632823
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    References listed on IDEAS

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    1. Kim, Yoon Tae & Park, Hyun Suk, 2017. "Optimal Berry–Esseen bound for statistical estimations and its application to SPDE," Journal of Multivariate Analysis, Elsevier, vol. 155(C), pages 284-304.
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