Convergence rate of CLT for the drift estimation of sub-fractional Ornstein-Uhlenbeck process of second kind (Q2062455)
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scientific article; zbMATH DE number 7450959
| Language | Label | Description | Also known as |
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| English | Convergence rate of CLT for the drift estimation of sub-fractional Ornstein-Uhlenbeck process of second kind |
scientific article; zbMATH DE number 7450959 |
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Convergence rate of CLT for the drift estimation of sub-fractional Ornstein-Uhlenbeck process of second kind (English)
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27 December 2021
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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.
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sub-fractional Brownian motion
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sub-fractional Ornstein-Uhlenbeck process of second kind
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least squares estimator
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Berry-Esseen bound
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