Berry-Esseen bounds for parameter estimation of general Gaussian processes
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Abstract: We study rates of convergence in central limit theorems for the partial sum of squares of general Gaussian sequences, using tools from analysis on Wiener space. No assumption of stationarity, asymptotically or otherwise, is made. The main theoretical tool is the so-called Optimal Fourth Moment Theorem cite{NP2015}, which provides a sharp quantitative estimate of the total variation distance on Wiener chaos to the normal law. The only assumptions made on the sequence are the existence of an asymptotic variance, that a least-squares-type estimator for this variance parameter has a bias and a variance which can be controlled, and that the sequence's auto-correlation function, which may exhibit long memory, has a no-worse memory than that of fractional Brownian motion with Hurst parameter }.{ Our main result is explicit, exhibiting the trade-off between bias, variance, and memory. We apply our result to study drift parameter estimation problems for subfractional Ornstein-Uhlenbeck and bifractional Ornstein-Uhlenbeck processes with fixed-time-step observations. These are processes which fail to be stationary or self-similar, but for which detailed calculations result in explicit formulas for the estimators' asymptotic normality.
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Cited in
(22)- Estimating drift parameters in a non-ergodic Gaussian Vasicek-type model
- Convergence rate of CLT for the drift estimation of sub-fractional Ornstein-Uhlenbeck process of second kind
- Berry-Esseen bounds of second moment estimators for Gaussian processes observed at high frequency
- Least squares estimation for non-ergodic weighted fractional Ornstein-Uhlenbeck process of general parameters
- AR(1) processes driven by second-chaos white noise: Berry-Esséen bounds for quadratic variation and parameter estimation
- Least squares type estimation for discretely observed non-ergodic Gaussian Ornstein-Uhlenbeck processes
- Statistical analysis of the non-ergodic fractional Ornstein-Uhlenbeck process with periodic mean
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- Parameter estimation for Gaussian mean-reverting Ornstein–Uhlenbeck processes of the second kind: Non-ergodic case
- Berry--Esseen Bounds and ASCLTs for Drift Parameter Estimator of Mixed Fractional Ornstein--Uhlenbeck Process with Discrete Observations
- Berry-Esseen bounds for parameter estimation of general Gaussian processes
- Gaussian and hermite Ornstein–Uhlenbeck processes
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- An exponential nonuniform Berry-Esseen bound for the fractional Ornstein-Uhlenbeck process
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