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Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency
adaptive estimation asymptotic equivalence asynchronous ob-servations integrated covolatility matrix quadratic covariation semiparametric eciency,microstructure noise spectral estimation
2013/4/28
An efficient estimator is constructed for the quadratic covariation or integrated covolatility matrix of a multivariate continuous martingale based on noisy and non-synchronous observations under high...
Laplace deconvolution with noisy observations
adaptivity kernel estimation minimax rates Volterra equation
2011/7/19
In the present paper we consider Laplace deconvolution on the basis of discrete noisy data observed on the interval which length may increase with a sample size. Although this problem arises in a vari...
Asymptotic equivalence for inference on the volatility from noisy observations
High-frequency data diffusions with measurement error mi-crostructure noise integrated volatility spot volatility estimation Le Cam deficiency equivalence of experiments Gaussian shift
2011/6/17
We consider discrete-time observations of a continuous martin-
gale under measurement error. This serves as a fundamental model
for high-frequency data in finance, where an efficient price process
...
Tracking Stopping Times Through Noisy Observations
Algorithm quickest detection problem decision theory synchronization forecasting monitoring sequential analysis
2010/4/26
A novel quickest detection setting is proposed which is a generalization of the well-known Bayesian changepoint detection model. Suppose {(Xi, Yi)}i1 is a sequence of pairs of random variables, and t...