Berry-Esseen Type Bound for Fractional Ornstein-Uhlenbeck Type Process Driven by Sub-fractional Brownian Motion

TL;DR

This paper derives a Berry-Esseen bound for the distribution of the maximum likelihood estimator of the drift parameter in a fractional Ornstein-Uhlenbeck process driven by sub-fractional Brownian motion, advancing statistical understanding of such models.

Contribution

It provides the first Berry-Esseen type bound for the MLE in fractional Ornstein-Uhlenbeck processes driven by sub-fractional Brownian motion.

Findings

Established a Berry-Esseen bound for the estimator's distribution.

Quantified the convergence rate of the estimator.

Enhanced statistical inference for processes driven by sub-fractional Brownian motion.

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.