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Abstract For an Ornstein–Uhlenbeck process driven by a fractional Brownian motion with Hurst parameter one shows the Berry–Esséen bound of the least squares estimator of the drift parameter. Thus, a… Click to show full abstract
Abstract For an Ornstein–Uhlenbeck process driven by a fractional Brownian motion with Hurst parameter one shows the Berry–Esséen bound of the least squares estimator of the drift parameter. Thus, a problem left in Chen, Kuang, and Li (2019) is solved, where the Berry–Esséen bound of the least squares estimator is proved for A new ingredient is a corollary of the inner product’s representation of the Hilbert space associated with the fractional Brownian motion given by Jolis (2007). An approach based on Malliavin calculus given by Kim and Park (2017b) is used. Several computations are cited from Hu, Nualart, and Zhou (2019).
Journal Title: Communications in Statistics - Theory and Methods
Year Published: 2019
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