Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10527207 | Stochastic Processes and their Applications | 2013 | 22 Pages |
Abstract
This paper proposes a general approach to obtain asymptotic lower bounds for the estimation of random functionals. The main result is an abstract convolution theorem in a non parametric setting, based on an associated LAMN property. This result is then applied to the estimation of the integrated volatility, or related quantities, of a diffusion process, when the diffusion coefficient depends on an independent Brownian motion.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Emmanuelle Clément, Sylvain Delattre, Arnaud Gloter,