An exponential nonuniform Berry-Esseen bound for the fractional Ornstein-Uhlenbeck process
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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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Cited in
(13)- 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
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