Found 18 Documents (Results 1–18)
Estimation in the presence of many nuisance parameters: composite likelihood and plug-in likelihood. (English) Zbl 1285.62036
Quasi likelihood analysis of volatility and nondegeneracy of statistical random field. (English) Zbl 1284.62539
Power variation from second order differences for pure jump semimartingales. (English) Zbl 1323.60060
Cramér-Karhunen-Loève representation and harmonic principal component analysis of functional time series. (English) Zbl 1285.62109
Asymptotics for functionals of self-normalized residuals of discretely observed stochastic processes. (English) Zbl 1284.62529
Volatility inference in the presence of both endogenous time and microstructure noise. (English) Zbl 1285.62123
Optimally thresholded realized power variations for Lévy jump diffusion models. (English) Zbl 1285.62099
Ergodicity of observation-driven time series models and consistency of the maximum likelihood estimator. (English) Zbl 1285.62104
Estimating the efficient price from the order flow: a Brownian Cox process approach. (English) Zbl 1285.62122
Asymptotic theory for Brownian semi-stationary processes with application to turbulence. (English) Zbl 1295.60044
Nonparametric estimation for stochastic differential equations with random effects. (English) Zbl 1284.62251
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