Berry–Esséen bound for the parameter estimation of fractional Ornstein–Uhlenbeck processes-Reference-Cited by-同舟云学术

Berry–Esséen bound for the parameter estimation of fractional Ornstein–Uhlenbeck processes

Published:2019-10-21 Issue:04 Volume:20 Page:2050023
ISSN:0219-4937
Container-title:Stochastics and Dynamics
language:en
Short-container-title:Stoch. Dyn.

Author:

Chen Yong¹^ORCID,Kuang Nenghui²,Li Ying³

Affiliation:

1. College of Mathematics and Information Science, Jiangxi Normal University, Nanchang, Jiangxi 330022, P. R. China

2. School of Mathematics and Computing Science, Hunan University of Science and Technology, Xiangtan, Hunan 411201, P. R. China

3. School of Mathematics and Computing Science, Xiangtan University, Xiangtan, Hunan 411105, P. R. China

Abstract

For an Ornstein–Uhlenbeck process driven by fractional Brownian motion with Hurst index [Formula: see text], we show the Berry–Esséen bound of the least squares estimator of the drift parameter based on the continuous-time observation. We use an approach based on Malliavin calculus given by Kim and Park [Optimal Berry–Esséen bound for statistical estimations and its application to SPDE, J. Multivariate Anal. 155 (2017) 284–304].

Funder

National Natural Science Foundation of China

Publisher

World Scientific Pub Co Pte Lt

Subject

Modelling and Simulation

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0219493720500239

Reference22 articles.

1. Parameter estimation of Gaussian stationary processes using the generalized method of moments

2. Sharp Large Deviations for the Fractional Ornstein–Uhlenbeck Process

3. Parameter Estimation in Stochastic Differential Equations

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