Berry-Esseen bound for the parameter estimation of fractional Ornstein-Uhlenbeck processes

被引：11

作者：

Chen, Yong ^{[1
]}

Kuang, Nenghui ^{[2
]}

Li, Ying ^{[3
]}

机构：

[1] Jiangxi Normal Univ, Coll Math & Informat Sci, Nanchang 330022, Jiangxi, Peoples R China

[2] Hunan Univ Sci & Technol, Sch Math & Comp Sci, Xiangtan 411201, Hunan, Peoples R China

[3] Xiangtan Univ, Sch Math & Comp Sci, Xiangtan 411105, Hunan, Peoples R China

来源：

STOCHASTICS AND DYNAMICS | 2020年 / 20卷 / 04期

关键词：

Berry-Esseen bound; fourth moment theorems; fractional Ornstein-Uhlenbeck process; Malliavin calculus;

D O I：

10.1142/S0219493720500239

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

For an Ornstein-Uhlenbeck process driven by fractional Brownian motion with Hurst index H is an element of [1/2, 3/4], we show the Berry-Esseen 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-Esseen bound for statistical estimations and its application to SPDE, J. Multivariate Anal. 155 (2017) 284-304].

引用

页数：13

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