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Berry–Esséen bound for the parameter estimation of fractional Ornstein–Uhlenbeck processes
Stochastics and Dynamics ( IF 0.8 ) Pub Date : 2019-10-21 , DOI: 10.1142/s0219493720500239
Yong Chen 1 , Nenghui Kuang 2 , Ying Li 3
Affiliation  

For an Ornstein–Uhlenbeck process driven by fractional Brownian motion with Hurst index [Formula: see text], we show the Berry–Esséen bound of the least squares estimator of the drift parameter based on the continuous-time observation. We use an approach based on Malliavin calculus given by Kim and Park [Optimal Berry–Esséen bound for statistical estimations and its application to SPDE, J. Multivariate Anal. 155 (2017) 284–304].

中文翻译:

Berry-Esséen 界用于分数 Ornstein-Uhlenbeck 过程的参数估计

对于由具有赫斯特指数的分数布朗运动驱动的 Ornstein-Uhlenbeck 过程 [公式:见正文],我们展示了基于连续时间观察的漂移参数的最小二乘估计量的 Berry-Esséen 界。我们使用基于 Kim 和 Park 给出的 Malliavin 演算的方法 [Optimal Berry-Esséen bound for statistics 估计及其在 SPDE、J. Multivariate Anal 中的应用。155 (2017) 284–304]。
更新日期:2019-10-21
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