Abstract
In this paper we present a unified approach to obtaining rates of convergence for the maximum likelihood estimator (MLE) in Brownian semimartingale models of the form We show that the rate of the MLE is determined by (an appropriate version of) the entropy of the parameter space with respect to the random metric hn, defined by Several known results for the rates in certain popular sub-models of the Brownian semimartingale model are shown to be special cases in our general framework.
Citation
Harry Van Zanten. "On the rate of convergence of the maximum likelihood estimator in Brownian semimartingale models." Bernoulli 11 (4) 643 - 664, Aug 2005. https://doi.org/10.3150/bj/1126126763
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