Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - 2006
∗
Ole E. Barndorff-Nielsen
The T.N. Thiele Centre for Mathematics in Natural Science,
Department of Mathematical Sciences … achieve the best
possible rate of convergence and to have an asymptotic variance which is close to that of the
maximum … estimator is asymptotically
mixed Gaussian, converging at rate n1/6. Here c is a estimable constant which can be optimally …