Convergence rate of CLT for the drift estimation of sub-fractional Ornstein-Uhlenbeck process of second kind
type: Item
instance of: scholarly article
title: Convergence rate of CLT for the drift estimation of sub-fractional Ornstein-Uhlenbeck process of second kind
DOI: 10.15559/21-VMSTA179
author: Maoudo Faramba Baldé
author: K. Es-Sebaiy
published in: Modern Stochastics. Theory and Applications
publication date: 2021-12-27T00:00:00Z
review text: 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.
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 60G22
zbMATH DE Number: 7450959
zbMATH Keywords: sub-fractional Brownian motion
zbMATH Keywords: sub-fractional Ornstein-Uhlenbeck process of second kind
zbMATH Keywords: least squares estimator
zbMATH Keywords: Berry-Esseen bound
reviewed by: B. L. S. Prakasa Rao
MaRDI profile type: Publication
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full work available at URL: 21-vmsta179
OpenAlex ID: W3165155076
description: scientific article; zbMATH DE number 7450959