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An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory
Density estimation Kullback–Leibler divergence
2011/7/6
The article is devoted to the nonparametric estimation of the quadratic covariation of non-synchronously observed It\^o processes in an additive microstructure noise model.
Asymptotic Inference of Autocovariances of Stationary Processes
Autocovariance blocks of blocks bootstrapping Box-Pierce test extreme value distribution moderate deviation normal comparison physical dependence measure short range dependence stationary process summability of cumulants
2011/6/17
The paper presents a systematic theory for asymptotic inference of autocovariances of
stationary processes.We consider nonparametric tests for serial correlations based on the maximum (or
L1) and th...