An exponential nonuniform Berry-Esseen bound for the fractional Ornstein-Uhlenbeck process (Q6161602): Difference between revisions
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Latest revision as of 01:47, 5 May 2024
scientific article; zbMATH DE number 7692069
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English | An exponential nonuniform Berry-Esseen bound for the fractional Ornstein-Uhlenbeck process |
scientific article; zbMATH DE number 7692069 |
Statements
An exponential nonuniform Berry-Esseen bound for the fractional Ornstein-Uhlenbeck process (English)
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5 June 2023
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Using mainly the method on the change of measure approach and asymptotic analysis technique, asymptotic properties of the maximum likelihood estimator of the drift parameter in the fractional Ornstein-Uhlenbeck process are studied. An exponential nonuniform Berry-Esseen bound for the maximum likelihood estimator is established and the optimal uniform Berry-Esseen bound and Cramér-type moderate deviation are obtained. The paper presents the topic and the main results on exponential nonuniform Berry-Esseen bound for the fractional Ornstein-Uhlenbeck process (Theorem 1.1, Corollary 1.1 and Corollary 1.2), and then, after some necessary theory, the main results are proved.
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Berry-Esseen bound
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change of measure method
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Cramér-type moderate deviation
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fractional Ornstein-Uhlenbeck process
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maximum likelihood estimator
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