Improved Berry-Esseen bounds for parameter estimation of a fractional Ornstein-Uhlenbeck process observed at high frequency
Abstract
This paper deals with parameter estimation of the drift coefficient, denoted θ , for a fractional Ornstein-Uhlenbeck process observed at high frequency. Specifically, we provide an estimator of θ , namely \(\widetilde{\theta }_{n}\) , using the second moment method. We develop some novel estimates to derive an explicit Berry–Esseen bound in the Wasserstein distance for the normal approximation of \(\widetilde{\theta }_{n}\) . Moreover, we prove that our estimate is strictly sharper than the one obtained in Douissi et al. (Electron. J. Stat. 16(1):636–670, 2022 ).
Fields of Study & Subjects
Stochastic processes and financial applications
Fractional Differential Equations Solutions
Stochastic processes and statistical mechanics
Publication details
- Journal / source
- Advances in Continuous and Discrete Models
- Volume
- 2026
- Issue
- 1
- Publication date
- 29 January 2026
- Language
- EN