Berry-Esseen bound for the Parameter Estimation of Fractional Ornstein-Uhlenbeck Processes

2018/06/05 by Chen, Yong, Kuang, Nenghui, Li, Ying
#60F25 #60H07 #62M09 #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1806.01487

Abstract

For an Ornstein-Uhlenbeck process driven by fractional Brownian motion with Hurst index H∈ [\frac12,\frac34], we show the Berry-Esséen bound of the least squares estimator of the drift parameter. We use an approach based on Malliavin calculus given by Kim and Park \citekim 3.

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