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High-Frequency Asymptotics for Lipschitz-Killing Curvatures of Excursion Sets on the Sphere
High-Frequency Asymptotics Spherical Ran-dom Fields Gaussian Subordination Lipschitz-Killing Curvatures Minkowski Functionals Excursion Sets
2013/5/2
In this paper, we shall be concerned with geometric functionals and excursion probabilities for some nonlinear transforms evaluated on Fourier components of spherical random fields. In particular, we ...
Estimation for Lévy processes from high frequency data within a long time interval
Adaptive nonparametric estimation high frequency data L´ evy processes projection estimators power variation
2011/6/17
In this paper, we study nonparametric estimation of the L´evy
density for L´evy processes, with and without Brownian component.
For this, we consider n discrete time observations with st...
Vast volatility matrix estimation for high-frequency financial data
Convergence rate diffusion integrated volatility matrix norm micro-structure noise realized volatility
2010/3/10
High-frequency data observed on the prices of financial assets
are commonly modeled by diffusion processes with micro-structure
noise, and realized volatility-based methods are often used to estimat...