On the Kolmogorov Distance for the Least Squares Estimator in the Fractional Ornstein-Uhlenbeck Process
The paper shows that the distribution of the normalized least squares estimator of the drift parameter in the fractional Ornstein-Uhlenbeck process observed over [0, T] converges to the standard normal distribution with an uniform optimal error bound of the order O(T −1/2) for 0.5 ≤ H ≤ 0.63 and of...
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| Format: | Artigo |
| Sprache: | Inglês |
| Veröffentlicht: |
Ada Academica
2023-03-01
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| Schriftenreihe: | European Journal of Mathematical Analysis |
| Online-Zugang: | https://adac.ee/index.php/ma/article/view/142 |
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