An exponential nonuniform Berry-Esseen bound for the fractional Ornstein-Uhlenbeck process (Q6161602)

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.