搜索结果: 1-3 共查到“统计学 asymptotic equivalence”相关记录3条 . 查询时间(0.085 秒)
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
...
Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise
High-frequency data integrated volatility spot volatilityestimation Le Cam deficiency equivalence of experiments
2010/3/9
The basic model for high-frequency data in finance is considered,
where an efficient price process is observed under microstructure noise.
It is shown that this nonparametric model is in Le Cam’s se...
Asymptotic equivalence of spectral density estimation and gaussian white noise
Stationary Gaussian process spectral density Sobolev classes Le Cam distance asymptotic equivalence
2010/3/18
We consider the statistical experiment given by a sample y(1), . . . , y(n) of a stationary
Gaussian process with an unknown smooth spectral density f. Asymptotic equivalence,
in the sense of Le Cam...