Berry-Esseen bound for MLE for linear stochastic differential equations driven by fractional Brownian motion

@inproceedings{Prakasa2003BerryEsseenBF,
  title={Berry-Esseen bound for MLE for linear stochastic differential equations driven by fractional Brownian motion},
  author={B. L. S. Prakasa},
  year={2003}
}
  • B. L. S. Prakasa
  • Published 2003
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).