New Berry-Esseen bounds for parameter estimation of Gaussian processes observed at high frequency

Khalifa Es-Sebaiy; Yong Chen

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arXiv · 2603.05163

New Berry-Esseen bounds for parameter estimation of Gaussian processes observed at high frequency

Khalifa Es-Sebaiy·Yong Chen

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Abstract

The purpose of this paper is to estimate the limiting variance of asymptotically stationary Gaussian processes observed at high frequency, using the second moment estimator (SME). We study rates of convergence of the central limit theorem for the SME in terms of the total variation, Kolmogorov and Wasserstein distances, using some novel techniques and sharp estimates for cumulants. We apply our approach to provide Berry-Esseen bounds in Kolmogorov and Wasserstein distances for estimators of the drift parameters of Gaussian Ornstein-Uhlenbeck processes. Moreover, we prove that most of our estimates are strictly sharper than the ones obtained in the existing literature.

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BibTeX RIS

Khalifa Es-Sebaiy, Yong Chen. 2026-03-05. New Berry-Esseen bounds for parameter estimation of Gaussian processes observed at high frequency. https://arxiv.org/abs/2603.05163

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