Asymptotic equivalence for inference on the volatility from noisy observations

DOI10.1214/10-AOS855zbMath1215.62113arXiv1105.2128MaRDI QIDQ548535

Markus Reiss

Publication date: 29 June 2011

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1105.2128

zbMATH Keywords

high-frequency datamicrostructure noiseintegrated volatilitydiffusions with measurement errorequivalence of experimentsGaussian shiftLe Cam deficiencyspot volatility estimation

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Theory of statistical experiments (62B15) Martingales with continuous parameter (60G44)

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