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

Soukaina Douissi, Khalifa Es-Sebaiy, Fatimah Alshahrani +1

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 a…