I think, the convention that is generally followed is this:
However, few other points to remembers are:
Top level classes and static nested class are semantically same except that in case of static nested class it can make static reference to private static fields/methods of its Outer [parent] class and vice versa.
Inner classes have access to instance variables of the enclosing instance of the Outer [parent] class. However, not all inner classes have enclosing instances, for example inner classes in static contexts, like an anonymous class used in a static initializer block, do not.
Anonymous class by default extends the parent class or implements the parent interface and there is no further clause to extend any other class or implement any more interfaces. So,
new YourClass(){};
means class [Anonymous] extends YourClass {}
new YourInterface(){};
means class [Anonymous] implements YourInterface {}
I feel that the bigger question that remains open which one to use and when? Well that mostly depends on what scenario you are dealing with but reading the reply given by @jrudolph may help you making some decision.