Inference for Multi‐dimensional High‐frequency Data with an Application to Conditional Independence Testing

DOI10.1111/sjos.12230zbMath1373.62511arXiv1301.2074OpenAlexW2337498378MaRDI QIDQ2835311

Per Aslak Mykland, Markus Bibinger

Publication date: 2 December 2016

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1301.2074

zbMATH Keywords

high-frequency dataconditional independenceasynchronous observationsasymptotic distribution theorymicrostructure noisemultivariate limit theorems

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05)

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