Prakasa Rao, B. L. S. (2005) Berry-Esseen bound for MLE for linear stochastic differential equations driven by fractional Brownian motion Journal of Korean Statistical Society, 34 . pp. 281-295. ISSN 1226-3192
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Official URL: http://www.isid.ac.in/~statmath/eprints/2003/isid2...
Abstract
We investigate the rate of convergence of the distribution of the maximum likelihood estimator (MLE) of an unknown parameter in the drift coefficient of a stochastic process described by a linear stochastic differential equation driven by a fractional Brownian Motion (fBM). As a special case, we obtain the rate of convergence for the case of the fractional Ornstein-Uhlenbeck type process studied recently by Kleptsyna and Le Breton (2002).
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Korean Statistical Society. |
| Keywords: | Linear Stochastic Differential Equations; Fractional Ornstein-Uhlenbeck Type Process; Fractional Brownian Motion; Maximum Likelihood Estimation; Berry-Esseen Bound |
| ID Code: | 73752 |
| Deposited On: | 07 Dec 2011 05:35 |
| Last Modified: | 07 Dec 2011 05:35 |
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