Berry-Esseen bound for the Parameter Estimation of Fractional Ornstein-Uhlenbeck Processes
Probability
2019-08-16 v5
Abstract
For an Ornstein-Uhlenbeck process driven by fractional Brownian motion with Hurst index , 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}.
Keywords
Cite
@article{arxiv.1806.01487,
title = {Berry-Esseen bound for the Parameter Estimation of Fractional Ornstein-Uhlenbeck Processes},
author = {Yong Chen and Nenghui Kuang and Ying Li},
journal= {arXiv preprint arXiv:1806.01487},
year = {2019}
}
Comments
10 pages