Berry-Esseen type bound for fractional Ornstein-Uhlenbeck type process driven by sub-fractional Brownian motion

B. L. S. Prakasa Rao

CR Rao Advanced Institute of Research in Mathematics, Statistics and Computer Science, Hyderabad 500046, India

Abstract: We obtain a Berry-Esseen type bound for the distribution of the maximum likelihood estimator of the drift parameter for fractional Ornstein-Uhlenbeck type process driven by sub-fractional Brownian motion.

Keywords: Fractional Ornstein-Uhlenbeck type process, sub-fractional Brownian motion, Maximum likelihood estimation, Berry-Esseen type bound.

MSC: Primary 62M09; Secondary 60G22

Language: English

Bibliographic databases:

• 
•