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 $H\in [\frac{1}{2},\frac{3}{4}]$, we show the Berry-Esséen bound of the least squares estimator of t…