Publications and Preprints
Berry-Esseen bound for MLE for linear stochastic differential equations driven by fractional Brownian motion
B. L. S. Prakasa Rao
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).
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