Berry-Esseen bound for the Parameter Estimation of Fractional Ornstein-Uhlenbeck Processes (1806.01487v5)

Abstract: For an Ornstein-Uhlenbeck process driven by fractional Brownian motion with Hurst index $H\in [\frac12,\frac34]$, we show the Berry-Ess\'een 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}.