An Improved Berry-Esseen Bound of Least Squares Estimation for Fractional Ornstein-Uhlenbeck Processes

TL;DR

This paper develops a new formula for inner products in the Hilbert space associated with fractional Brownian motion and uses it to improve Berry-Esseen bounds for least squares estimation in fractional Ornstein-Uhlenbeck processes, especially for Hurst parameter H in (1/4, 1/2).

Contribution

It introduces a novel formula for the inner product in the Hilbert space of fractional Brownian motion and applies it to refine Berry-Esseen bounds for parameter estimation in fractional Ornstein-Uhlenbeck processes.

Findings

Derived a new formula for the inner product in the Hilbert space  fractional Brownian motion.

Improved the Berry-Esseen upper bound for least squares estimation of the drift coefficient.

Provided a Berry-Esseen bound for moment estimation of the drift coefficient.

Abstract

The aim of this paper is twofold. First, it offers a novel formula to calculate the inner product of the bounded variation function in the Hilbert space $\mathcal{H}$ associated with the fractional Brownian motion with Hurst parameter $H\in (0,\frac12)$. This formula is based on a kind of decomposition of the Lebesgue-Stieljes measure of the bounded variation function and the integration by parts formula of the Lebesgue-Stieljes measure. Second, as an application of the formula, we explore that as $T\to\infty$, the asymptotic line for the square of the norm of the bivariate function $f_T(t,s)=e^{-\theta|t-s|}1_{\{0\leq s,t\leq T\}}$ in the symmetric tensor space $\mathcal{H}^{\odot 2}$ (as a function of $T$), and improve the Berry-Ess\'{e}en type upper bound for the least squares estimation of the drift coefficient of the fractional Ornstein-Uhlenbeck processes with Hurst parameter $H\in (\frac14,\frac12)$. The asymptotic analysis of the present paper is much more subtle than that of Lemma 17 in Hu, Nualart, Zhou(2019) and the improved Berry-Ess\'{e}en type upper bound is the best improvement of the result of Theorem 1.1 in Chen, Li (2021). As a by-product, a second application of the above asymptotic analysis is given, i.e., we also show the Berry-Ess\'{e}en type upper bound for the moment estimation of the drift coefficient of the fractional Ornstein-Uhlenbeck processes where the method is obvious different to that of Proposition 4.1 in Sottinen, Viitasaari(2018).