Adaptive wavelet estimation of the diffusion coefficient under additive error measurements
From MaRDI portal
Publication:1930660
DOI10.1214/11-AIHP472zbMath1282.62078arXiv1007.4622MaRDI QIDQ1930660
Axel Munk, Johannes Schmidt-Hieber, Marc Hoffmann
Publication date: 11 January 2013
Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1007.4622
Related Items
Optimal estimation of the rough Hurst parameter in additive noise ⋮ Nonparametric Bayesian volatility learning under microstructure noise ⋮ Robust model selection for a semimartingale continuous time regression from discrete data ⋮ A mathematical analysis of the Gumbel test for jumps in stochastic volatility models ⋮ ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING ⋮ Wavelet-Based Methods for High-Frequency Lead-Lag Analysis ⋮ Spot volatility estimation using delta sequences
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Asymptotic equivalence for inference on the volatility from noisy observations
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations
- Ultra high frequency volatility estimation with dependent microstructure noise
- Estimation of the volatility persistence in a discretely observed diffusion model
- Exponential inequalities for self-normalized martingales with applications
- Wavelets on the interval and fast wavelet transforms
- Minimax estimation of the diffusion coefficient through irregular samplings
- Wavelets, approximation, and statistical applications
- Adaptive estimation in diffusion processes.
- Nonparametric estimation of the volatility function in a high-frequency model corrupted by noise
- A selective overview of nonparametric methods in financial econometrics
- Microstructure noise in the continuous case: the pre-averaging approach
- Estimation of the Hurst parameter from discrete noisy data
- Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
- Estimation of parameters in incomplete data models defined by dynamical systems
- Non-parametric drift estimation for diffusions from noisy data
- Parameter Estimation for a Bidimensional Partially Observed Ornstein-Uhlenbeck Process with Biological Application
- Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
- Quelques espaces fonctionnels associés à des processus gaussiens
- Ideal spatial adaptation by wavelet shrinkage
- Diffusions with measurement errors. I. Local Asymptotic Normality
- Diffusions with measurement errors. II. Optimal estimators
- Parametric inference for mixed models defined by stochastic differential equations
- A Tale of Two Time Scales
- Thresholding algorithms, maxisets and well-concentrated bases
