Berry--Esseen Bounds and ASCLTs for Drift Parameter Estimator of Mixed Fractional Ornstein--Uhlenbeck Process with Discrete Observations

DOI10.1137/S0040585X97T98957XzbMath1441.62066OpenAlexW2964193282WikidataQ126989810 ScholiaQ126989810MaRDI QIDQ5240317

Khalifa Es-Sebaiy, Fares Alazemi, Soukaina Douissi

Publication date: 25 October 2019

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97t98957x

zbMATH Keywords

parameter estimationcentral limit theoremalmost sure central limit theoremNourdin-Peccati analysismixed Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Point estimation (62F10)

Related Items (2)

Asymptotic properties for the parameter estimation in Ornstein-Uhlenbeck process with discrete observations ⋮ Self-normalized Cramér-type moderate deviations for explosive Vasicek model

Uses Software

• YUIMA

Cites Work

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• Berry-Ess\'een bounds for parameter estimation of general Gaussian processes

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