Berry-Ess\'een bound for drift estimation of fractional Ornstein Uhlenbeck process of second kind

arXiv2005.08397MaRDI QIDQ6340892FDOQ6340892

K. Es-Sebaiy, Maoudo Faramba Baldé, Rachid Belfadli

Publication date: 17 May 2020

Abstract: In the present paper we consider the Ornstein-Uhlenbeck process of the second kind defined as solution to the equation $d{X}_t=-alpha{X}_{t}dt+d{Y}_t^{(1)},X_0=0$, where $Y_t^{(1)}:=in{t}_0^t{e}^{-s}d{B}_{a_s}^H$ with $a_t=H{e}^{fractH}$, and $B^H$ is a fractional Brownian motion with Hurst parameter $Hin(frac12,1)$, whereas $alpha>0$ is unknown parameter to be estimated. We obtain the upper bound $O(1/sqrtT)$ in Kolmogorov distance for normal approximation of the least squares estimator of the drift parameter $alpha$ on the basis of the continuous observation $X_t,tin[0,T]$, as $Tightarrowinfty$. Our method is based on the work of cite{kp-JVA}, which is proved using a combination of Malliavin calculus and Stein's method for normal approximation.

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