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

DOI10.1016/J.SPA.2020.02.007zbMATH Open1493.62116arXiv1907.06782OpenAlexW3007176440MaRDI QIDQ2145806FDOQ2145806

Authors: Soukaina Douissi, K. Es-Sebaiy, Fatimah Alshahrani, Frederi Viens 

Publication date: 20 June 2022

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

Abstract: In this paper, we study the asymptotic behavior of the quadratic variation for the class of AR(1) processes driven by white noise in the second Wiener chaos. Using tools from the analysis on Wiener space, we give an upper bound for the total-variation speed of convergence to the normal law, which we apply to study the estimation of the model's mean-reversion. Simulations are performed to illustrate the theoretical results.

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

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zbMATH Keywords

parameter estimationMalliavin calculustime seriescentral 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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