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

DOI10.1007/S10959-022-01194-WMaRDI QIDQ6161602zbMATH OpenWikidataFDO

Authors Hui Jiang, Jingying Zhou

Publication date 5 June 2023

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

Full work available at URL https://doi.org/10.1007/S10959-022-01194-W

zbMATH Keywords

Berry-Esseen boundchange of measure methodCramér-type moderate deviationfractional Ornstein-Uhlenbeck processmaximum likelihood estimator

Mathematics Subject Classification ID

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

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Cites work

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Cited in

(11)

• Berry-Esseen bounds of second moment estimators for Gaussian processes observed at high frequency
• Optimal Berry-Esseen bound for an estimator of parameter in the Ornstein-Uhlenbeck process
• Sharp Berry-Esseen bound for the maximum likelihood estimator in the Ornstein-Uhlenbeck process
• Berry-Esseen type bound for fractional Ornstein-Uhlenbeck type process driven by mixed fractional Brownian motion
• Berry-Esséen bound for the parameter estimation of fractional Ornstein-Uhlenbeck processes
• Berry--Esseen Bounds and ASCLTs for Drift Parameter Estimator of Mixed Fractional Ornstein--Uhlenbeck Process with Discrete Observations
• An exponential nonuniform Berry-Esseen bound of the maximum likelihood estimator in a Jacobi process
• Berry-Esseen bound and Cramér-type moderate deviation of the MLE for Ornstein-Uhlenbeck process with discrete observations
• An exponential non-uniform Berry-Esseen bound of some time inhomogeneous diffusion process
• Asymptotic properties of the estimators in mildly stable unit root process
• Berry-Esseen bound and Cramér-type moderate deviations of the maximum likelihood estimator in Rayleigh diffusion process

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