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Berry-Esseen bound for the Moment Estimation of the fractional Ornstein-Uhlenbeck model under fixed step size discrete observations
Zheng Tang, Ying Li, Haili Yang +2
Let the Ornstein-Uhlenbeck process driven by a fractional Brownian motion described by with known parameter $H\in (0,\f…
Statistical Estimations for Non-Ergodic Vasicek Model Driven by Two Types of Gaussian Processes
Yong Chen, Wu-Jun Gao, Ying Li
We study the joint asymptotic distribution of the least squares estimator of the parameter for the non-ergodic Vasicek models driven by seven specific Gaussian processes.…
The Properties of Fractional Gaussian Process and Their Applications
Yong Chen, Ying Li
The process is referred to as a fractional Gaussian process if the first-order partial derivative of the difference between its covariance function and that of…
Berry-Esseen bounds and almost sure CLT for the quadratic variation of a general Gaussian process
Yong Chen, Zhen Ding, Ying Li
In this paper, we consider the explicit bound for the second-order approximation of the quadratic variation of a general fractional Gaussian process . The second or…
Berry-Esseen bound for the Parameter Estimation of Fractional Ornstein-Uhlenbeck Processes
Yong Chen, Nenghui Kuang, Ying Li
For an Ornstein-Uhlenbeck process driven by fractional Brownian motion with Hurst index , we show the Berry-Esséen bound of the least squares estimator of t…
On the Jordan decomposition for a class of non-symmetric Ornstein-Uhlenbeck operators
Yong Chen, Ying Li
In this paper, we calculate the Jordan decomposition (or say, the Jordan canonical form) for a class of non-symmetric Ornstein-Uhlenbeck operators with the drift coefficient matrix…