Convergence rate of CLT for the drift estimation of sub-fractional Ornstein-Uhlenbeck process of second kind
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.
sub-fractional Ornstein-Uhlenbeck process of second kind
scientific article; zbMATH DE number 7450959
scientific article