Berry-Esseen bounds of second moment estimators for Gaussian processes observed at high frequency
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Publication:2136617
DOI10.1214/21-EJS1967zbMath1487.60050arXiv2102.04810OpenAlexW3126289299MaRDI QIDQ2136617
George Kerchev, Soukaina Douissi, Khalifa Es-Sebaiy, Ivan Nourdin
Publication date: 11 May 2022
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2102.04810
parameter estimationstrong consistencyhigh frequency datastationary Gaussian processescontinuous-time observationrate of normal convergence of the estimators
Asymptotic properties of parametric estimators (62F12) Gaussian processes (60G15) Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09) Stationary stochastic processes (60G10)
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Kolmogorov bounds in the CLT of the LSE for Gaussian Ornstein Uhlenbeck processes, Wasserstein bounds in CLT of approximative MCE and MLE of the drift parameter for Ornstein-Uhlenbeck processes observed at high frequency
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