Difference based estimators and infill statistics (Q2339214)

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Language	Label	Description	Also known as
English	Difference based estimators and infill statistics	scientific article

Statements

scholarly article

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Difference based estimators and infill statistics (English)

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Carenne Ludeña

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José Rafael León

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Statistical Inference for Stochastic Processes

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publication date

31 March 2015

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zbMATH Keywords

Gaussian processes

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infill statistics

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nugget effect

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spatial statistics

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volatility

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s11203-014-9103-8

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Ultra high frequency volatility estimation with dependent microstructure noise

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Modelling financial time series using multifractal random walks

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Log-infinitely divisible multifractal processes

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Multifractal analysis in a mixed asymptotic framework

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Power variation for Gaussian processes with stationary increments

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Inference on the Hurst parameter and the variance of diffusions driven by fractional Brownian motion

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Central limit theorems and quadratic variations in terms of spectral density

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Statistical estimation for multiplicative cascades.

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Estimation of fractal dimension for a class of non-Gaussian stationary processes and fields.

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Abelian and Tauberian theorems relating the local behavior of an integrable function to the tail behavior of its Fourier transform

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An Introduction to (Stochastic) Calculus with Respect to Fractional Brownian Motion

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Itô's formula with respect to fractional Brownian motion and its application

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Stochastic analysis of the fractional Brownian motion

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Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data

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Stochastic Models That Separate Fractal Dimension and the Hurst Effect

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On the estimation of the diffusion coefficient for multi-dimensional diffusion processes

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Stochastic volatility and fractional Brownian motion

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Diffusions with measurement errors. II. Optimal estimators

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Convergence en loi des H-variations d'un processus gaussien stationnaire sur \({\mathbb{R}}\). (Convergence in law of H-variations of a stationary Gaussian process)

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Irregular sampling and central limit theorems for power variations: the continuous case

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Quadratic variations and estimation of the local Hölder index of a Gaussian process

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Sur certaines martingales de Benoit Mandelbrot

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Stable Convergence of Certain Functionals of Diffusions Driven by fBm

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Limits for weighted \(p\)-variations and likewise functionals of fractional diffusions with drift

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\(L^p\)-variations for multifractal fractional random walks

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Estimating the scaling function of multifractal measures and multifractal random walks using ratios

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Stochastic analysis of fractional brownian motions

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Spatial smoothing, nugget effect and infill asymptotics

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Intermittent turbulence in self-similar cascades: divergence of high moments and dimension of the carrier

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Differential equations driven by fractional Brownian motion

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Central limit theorems for multiple stochastic integrals and Malliavin calculus

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A comparison of generalized cross validation and modified maximum likelihood for estimating the parameters of a stochastic process

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Interpolation of spatial data. Some theory for kriging

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Variations and estimators for self-similarity parameters via Malliavin calculus

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Integration with respect to fractal functions and stochastic calculus. I

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Towards reconciling two asymptotic frameworks in spatial statistics

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

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Impact of the Sampling Rate on the Estimation of the Parameters of Fractional Brownian Motion

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Identifiers

zbMATH Open document ID

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10.1007/s11203-014-9103-8

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2339214

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