arXiv subjects
Publications and source records attributed to Nenghui Kuang.
For an Ornstein-Uhlenbeck process driven by fractional Brownian motion with Hurst index $H\in [\frac12,\frac34]$, we show the Berry-Esséen bound of the least squares estimator of the drift parameter. We use an approach based on Malliavin calculus given by Kim and Park \cite{kim 3}.
For an Ornstein-Uhlenbeck process driven by a fractional Brownian motion with Hurst parameter 0<H<1/2, one shows the Berry-Esséen 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-Esséen 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