Berry-Esseen bound for the Parameter Estimation of Fractional Ornstein-Uhlenbeck Processes
Abstract
For an Ornstein-Uhlenbeck process driven by fractional Brownian motion with Hurst index $H\in [\frac12,\frac34]$, 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 \cite{kim 3}.
- Publication:
-
arXiv e-prints
- Pub Date:
- June 2018
- DOI:
- 10.48550/arXiv.1806.01487
- arXiv:
- arXiv:1806.01487
- Bibcode:
- 2018arXiv180601487C
- Keywords:
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- Mathematics - Probability;
- 60H07;
- 60F25;
- 62M09
- E-Print:
- 10 pages