Berry-Esséen bound for the Parameter Estimation of Fractional Ornstein-Uhlenbeck Processes with the Hurst Parameter 0<H<1/2

Yong Chen, Nenghui Kuang

Published 2018-10-04Version 1

For an Ornstein-Uhlenbeck process driven by a fractional Brownian motion with Hurst parameter 0<H<1/2, one shows the Berry-Ess\'{e}en bound of the least squares estimator of the drift parameter. Thus, a problem left in the previous paper (Chen, Kuang and Li in Stochastics and Dynamics, 2019+) is solved, where the Berry-Ess\'{e}en bound of the least squares estimator is proved for 1/2<=H<=3/4. An approach based on Malliavin calculus given by Kim and Park \cite{kim 3} is used