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

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

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scholarly article

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title

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

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zbMATH Open document ID

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Johannes Schmidt-Hieber

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published in

Bernoulli

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publication date

5 May 2014

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full work available at URL

https://arxiv.org/abs/1208.5501

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

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Mathematics Subject Classification ID

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Fisher information

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Gaussian time series

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Cramer-Rao estimators

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MaRDI profile type

MaRDI publication profile

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arXiv ID

1208.5501

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cites work

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

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

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Q4726487

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Slowly varying functions and asymptotic relations

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Q3580581

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Efficient parameter estimation for self-similar processes

0 references

Asymptotic inference in stationary Gaussian time-series

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

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

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

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Stochastic volatility and fractional Brownian motion

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Estimation of the Hurst parameter from discrete noisy data

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Diffusions with measurement errors. I. Local Asymptotic Normality

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Diffusions with measurement errors. II. Optimal estimators

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

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Q4238465

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

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Asymptotic equivalence for inference on the volatility from noisy observations

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Statistical inference for the optimal approximating model

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

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Trigonometric series with general monotone coefficients

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

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Sitelinks

Mathematics(1 entry)

mardi Publication:2448712

@@ 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