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∈ [12,34], 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 kim 3.
0
Turn this paper into a lesson
ArcXiv compiles a structured reading guide from this paper's metadata: plain-English importance, contributions, prerequisite concepts, which sections to read first, flashcards, and a quiz. Grounded in the abstract, never invented.