In this paper, we study the exponential non-uniform Berry-Esseen bound for the maximum likelihood estimator of some time inhomogeneous diffusion process. As applications, the optimal uniform Berry-Esseen bound and optimal Cramér-type moderate deviations of the Ornstein-Uhlenbeck process and $\alpha$-Brownian bridge can be obtained. The main methods are the change of measure method and asymptotic analysis technique.
Qiaojing LIU
,
Yaqian LV
,
Baobin WANG
. AN EXPONENTIAL NON-UNIFORM BERRY-ESSEEN BOUND OF SOME TIME INHOMOGENEOUS DIFFUSION PROCESS[J]. Acta mathematica scientia, Series B, 2025
, 45(5)
: 1879
-1890
.
DOI: 10.1007/s10473-025-0506-y
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