Convergence rate of CLT for the estimation of Hurst parameter of fractional Brownian motion

摘要

In this paper, we consider the convergence of the estimator of the Hurst parameter H of a fractional Brownian motion with Hurst parameter H is an element of (0, 1). The main goal of our work is to derive an explicit upper bound of Kolmogorov distance in order to find the information about the rate of convergence of the central limit theorems (CLT) for the estimator of the Hurst parameter. (C) 2015 Elsevier B.V. All rights reserved.