Convergence rate of CLT for the drift estimation of sub-fractional Ornstein-Uhlenbeck process of second kind (Q2062455)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Convergence rate of CLT for the drift estimation of sub-fractional Ornstein-Uhlenbeck process of second kind |
scientific article |
Statements
Convergence rate of CLT for the drift estimation of sub-fractional Ornstein-Uhlenbeck process of second kind (English)
0 references
27 December 2021
0 references
The authors consider the problem of estimation of the drift parameter of the Ornstein-Uhlenbeck process driven by a sub-fractional Brownian motion of the second kind with Hurst index \(H\in (\frac{1}{2},1).\) They study the asymptotic properties of a least squares estimator of the drift parameter based on a continuous-time observation. Strong consistency and a Berry-Esseen type bound are obtained for this estimator using the method of Malliavin-Stein approach.
0 references
sub-fractional Brownian motion
0 references
sub-fractional Ornstein-Uhlenbeck process of second kind
0 references
least squares estimator
0 references
Berry-Esseen bound
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
