Asymptotically efficient estimation of a scale parameter in Gaussian time series and closed-form expressions for the Fisher information (Q2448712): Difference between revisions

Latest revision as of 11:14, 8 July 2024

scientific article

Language	Label	Description	Also known as
English	Asymptotically efficient estimation of a scale parameter in Gaussian time series and closed-form expressions for the Fisher information	scientific article

Statements

instance of

scholarly article

0 references

title

Asymptotically efficient estimation of a scale parameter in Gaussian time series and closed-form expressions for the Fisher information (English)

0 references

author

Till Sabel

0 references

Johannes Schmidt-Hieber

0 references

published in

Bernoulli

0 references

publication date

5 May 2014

0 references

full work available at URL

https://arxiv.org/abs/1208.5501

0 references

https://projecteuclid.org/euclid.bj/1393594005

0 references

zbMATH Keywords

Fisher information

0 references

Gaussian time series

0 references

Cramer-Rao estimators

0 references

MaRDI profile type

MaRDI publication profile

0 references

cites work

Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise

0 references

Remarks on the convergence (boundedness) in the mean of partial sums of a trigonometric series

0 references

Q4726487

0 references

Slowly varying functions and asymptotic relations

0 references

Q3580581

0 references

Efficient parameter estimation for self-similar processes

0 references

Asymptotic inference in stationary Gaussian time-series

0 references

Parameter estimation and hypothesis testing in spectral analysis of stationary time series. Transl. from the Russian by Samuel Kotz

0 references

Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series

0 references

A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate

0 references

Stochastic volatility and fractional Brownian motion

0 references

Estimation of the Hurst parameter from discrete noisy data

0 references

Diffusions with measurement errors. I. Local Asymptotic Normality

0 references

Diffusions with measurement errors. II. Optimal estimators

0 references

Microstructure noise in the continuous case: the pre-averaging approach

0 references

Q4238465

0 references

Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps

0 references

Asymptotic equivalence for inference on the volatility from noisy observations

0 references

Statistical inference for the optimal approximating model

0 references

Asymptotically efficient estimation of a scale parameter in Gaussian time series and closed-form expressions for the Fisher information

0 references

Trigonometric series with general monotone coefficients

0 references

Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach

0 references

Identifiers

zbMATH Open document ID

1400.62197

0 references

DOI

10.3150/12-BEJ505

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:2448712

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.5501
@@ Property / arXiv ID: 1208.5501 / rank @@
+Normal rank
@@ Property / cites work @@
+Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
+Normal rank
@@ Property / cites work @@
+Remarks on the convergence (boundedness) in the mean of partial sums of a trigonometric series
+Normal rank
@@ Property / cites work @@
+Q4726487
@@ Property / cites work: Q4726487 / rank @@
+Normal rank
@@ Property / cites work @@
+Slowly varying functions and asymptotic relations
@@ Property / cites work: Slowly varying functions and asymptotic relations / rank @@
+Normal rank
@@ Property / cites work @@
+Q3580581
@@ Property / cites work: Q3580581 / rank @@
+Normal rank
@@ Property / cites work @@
+Efficient parameter estimation for self-similar processes
+Normal rank
@@ Property / cites work @@
+Asymptotic inference in stationary Gaussian time-series
+Normal rank
@@ Property / cites work @@
+Parameter estimation and hypothesis testing in spectral analysis of stationary time series. Transl. from the Russian by Samuel Kotz
+Normal rank
@@ Property / cites work @@
+Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
+Normal rank
@@ Property / cites work @@
+A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
+Normal rank
@@ Property / cites work @@
+Stochastic volatility and fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Estimation of the Hurst parameter from discrete noisy data
+Normal rank
@@ Property / cites work @@
+Diffusions with measurement errors. I. Local Asymptotic Normality
+Normal rank
@@ Property / cites work @@
+Diffusions with measurement errors. II. Optimal estimators
+Normal rank
@@ Property / cites work @@
+Microstructure noise in the continuous case: the pre-averaging approach
+Normal rank
@@ Property / cites work @@
+Q4238465
@@ Property / cites work: Q4238465 / rank @@
+Normal rank
@@ Property / cites work @@
+Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
+Normal rank
@@ Property / cites work @@
+Asymptotic equivalence for inference on the volatility from noisy observations
+Normal rank
@@ Property / cites work @@
+Statistical inference for the optimal approximating model
+Normal rank
@@ Property / cites work @@
+Asymptotically efficient estimation of a scale parameter in Gaussian time series and closed-form expressions for the Fisher information
+Normal rank
@@ Property / cites work @@
+Trigonometric series with general monotone coefficients
+Normal rank
@@ Property / cites work @@
+Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
+Normal rank