Fourier transform methods for pathwise covariance estimation in the presence of jumps (Q468730): Difference between revisions
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non-parametric spot variance estimation | |||
| Property / zbMATH Keywords: non-parametric spot variance estimation / rank | |||
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central limit theorem | |||
| Property / zbMATH Keywords: central limit theorem / rank | |||
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consistency | |||
| Property / zbMATH Keywords: consistency / rank | |||
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Fourier analysis | |||
| Property / zbMATH Keywords: Fourier analysis / rank | |||
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jump-diffusion | |||
| Property / zbMATH Keywords: jump-diffusion / rank | |||
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jump-robust estimation | |||
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Revision as of 17:03, 30 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fourier transform methods for pathwise covariance estimation in the presence of jumps |
scientific article |
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Fourier transform methods for pathwise covariance estimation in the presence of jumps (English)
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7 November 2014
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non-parametric spot variance estimation
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central limit theorem
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consistency
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Fourier analysis
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jump-diffusion
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jump-robust estimation
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