An exponential nonuniform Berry-Esseen bound for the fractional Ornstein-Uhlenbeck process

DOI10.1007/S10959-022-01194-WzbMATH Open1519.60029WikidataQ115603641 ScholiaQ115603641MaRDI QIDQ6161602FDOQ6161602

Authors: Hui Jiang, Jingying Zhou 

Publication date: 5 June 2023

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

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zbMATH Keywords

Berry-Esseen boundmaximum likelihood estimatorfractional Ornstein-Uhlenbeck processchange of measure methodCramér-type moderate deviation

Mathematics Subject Classification ID

Estimation in survival analysis and censored data (62N02) Large deviations (60F10) Inequalities; stochastic orderings (60E15) Fractional processes, including fractional Brownian motion (60G22)

Cites Work

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Cited In (6)

• Optimal Berry-Esseen bound for an estimator of parameter in the Ornstein-Uhlenbeck process
• Berry-Esseen bounds of second moment estimators for Gaussian processes observed at high frequency
• Sharp Berry-Esseen bound for the maximum likelihood estimator in the Ornstein-Uhlenbeck process
• Berry-Esséen bound for the parameter estimation of fractional Ornstein-Uhlenbeck processes
• An exponential nonuniform Berry-Esseen bound of the maximum likelihood estimator in a Jacobi process
• Berry-Esseen type bound for fractional Ornstein-Uhlenbeck type process driven by mixed fractional Brownian motion

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