کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1155765 | 958765 | 2012 | 43 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory](/preview/png/1155765.png)
چکیده انگلیسی
The article is devoted to the nonparametric estimation of the quadratic covariation of non-synchronously observed Itô processes in an additive microstructure noise model. In a high-frequency setting, we aim at establishing an asymptotic distribution theory for a generalized multiscale estimator including a feasible central limit theorem with optimal convergence rate on convenient regularity assumptions. The inevitably remaining impact of asynchronous deterministic sampling schemes and noise corruption on the asymptotic distribution is precisely elucidated. A case study for various important examples, several generalizations of the model and an algorithm for the implementation warrant the utility of the estimation method in applications.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 122, Issue 6, June 2012, Pages 2411–2453
Journal: Stochastic Processes and their Applications - Volume 122, Issue 6, June 2012, Pages 2411–2453
نویسندگان
Markus Bibinger,