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

Nenghui Kuang; Ying Li; Yong Chen

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

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arxiv 1806.01487 v5 pith:PXR3VIHU submitted 2018-06-05 math.PR

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

Yong Chen , Nenghui Kuang , Ying Li This is my paper

classification math.PR

keywords boundfractionalornstein-uhlenbeckparameterapproachberry-essberry-esseenbrownian

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For an Ornstein-Uhlenbeck process driven by fractional Brownian motion with Hurst index $H\in [\frac12,\frac34]$, we show the Berry-Ess\'een 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}.

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

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