Geodesic
Berry-Esseen bounds for drift parameter estimation of discretely observed fractional Vasicek-type process
Teoriâ slučajnyh processov, Tome 24 (2019) no. 1, pp. 6-18

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In this paper, we study statistical estimation problems of drift parameters of Vasicek-type processes driven by fractional Brownian motion. Based on fixed-time-step observations and using Malliavin calculus combined with the recent Nourdin-Peccati analysis, we provide estimators of the drift parameters and analyze their asymptotic behaviors. More precisely, we study the strong consistency and the asymptotic distribution of the estimators and we give the rate of their convergence in law.
Keywords: Parameter estimation, Vasicek-type process, fractional Brownian motion, Central limit theorems, Nourdin-Peccati analysis.
Mots-clés : Malliavin Calculus 
@article{THSP_2019_24_1_a1,
     author = {Fares Alazemi and Soukaina Douissi and Khalifa Es-Sebaiy},
     title = {Berry-Esseen bounds for drift parameter estimation of discretely observed fractional {Vasicek-type} process},
     journal = {Teori\^a slu\v{c}ajnyh processov},
     pages = {6--18},
     publisher = {mathdoc},
     volume = {24},
     number = {1},
     year = {2019},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/THSP_2019_24_1_a1/}
}
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Fares Alazemi; Soukaina Douissi; Khalifa Es-Sebaiy. Berry-Esseen bounds for drift parameter estimation of discretely observed fractional Vasicek-type process. Teoriâ slučajnyh processov, Tome 24 (2019) no. 1, pp. 6-18. http://geodesic.mathdoc.fr/item/THSP_2019_24_1_a1/