Berry-Esseen Type Bound for Fractional Ornstein-Uhlenbeck Type Process Driven by Sub-fractional Brownian Motion

2019/01/18 by Б. Л. С. Пракаса Рао, Rao, B. L. S. Prakasa
Economics, Econometrics and Finance · Social Sciences · #Stochastic processes and financial applications #Financial Risk and Volatility Modeling #Insurance, Mortality, Demography, Risk Management

paper · pdf · doi:10.48550/arxiv.1901.06102

Abstract

We obtain a Berry-Esseen type bound for the distribution of the maximum likelihood estimator of the drift parameter for fractional Ornstein-uhlenbeck type process driven by sub-fractional Brownian motion.

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