AR(1) processes driven by second-chaos white noise: Berry-Esséen bounds for quadratic variation and parameter estimation

DOI10.1016/j.spa.2020.02.007zbMath1493.62116arXiv1907.06782OpenAlexW3007176440MaRDI QIDQ2145806

Frederi G. Viens, Soukaina Douissi, Khalifa Es-Sebaiy, Fatimah Alshahrani

Publication date: 20 June 2022

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1907.06782

zbMATH Keywords

parameter estimationtime seriesMalliavin calculuscentral limit theoremWiener chaosBerry-Esséen

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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