Fourier transform methods for pathwise covariance estimation in the presence of jumps (Q468730): Difference between revisions
From MaRDI portal
Created a new Item |
Changed an Item |
||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60F05 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 62G05 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 62G20 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60J60 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60J75 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60G48 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 42A38 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 91G70 / rank | |||
Normal rank | |||
Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6366971 / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
non-parametric spot variance estimation | |||
Property / zbMATH Keywords: non-parametric spot variance estimation / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
central limit theorem | |||
Property / zbMATH Keywords: central limit theorem / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
consistency | |||
Property / zbMATH Keywords: consistency / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
Fourier analysis | |||
Property / zbMATH Keywords: Fourier analysis / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
jump-diffusion | |||
Property / zbMATH Keywords: jump-diffusion / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
jump-robust estimation | |||
Property / zbMATH Keywords: jump-robust estimation / rank | |||
Normal rank |
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 |
Statements
Fourier transform methods for pathwise covariance estimation in the presence of jumps (English)
0 references
7 November 2014
0 references
non-parametric spot variance estimation
0 references
central limit theorem
0 references
consistency
0 references
Fourier analysis
0 references
jump-diffusion
0 references
jump-robust estimation
0 references