Fourier transform methods for pathwise covariance estimation in the presence of jumps

DOI10.1016/J.SPA.2014.07.023zbMath1347.60009arXiv1301.3602OpenAlexW2022334827MaRDI QIDQ468730

Josef Teichmann, Christa Cuchiero

Publication date: 7 November 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1301.3602

zbMATH Keywords

consistencyFourier analysiscentral limit theoremjump-diffusionjump-robust estimationnon-parametric spot variance estimation

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Statistical methods; risk measures (91G70) Nonparametric estimation (62G05) Central limit and other weak theorems (60F05) Generalizations of martingales (60G48) Diffusion processes (60J60) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42A38)

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