Optimal sampling frequency for high frequency data using a finite mixture model

DOI10.1016/J.JKSS.2013.09.003MaRDI QIDQ397209zbMATH OpenOpenAlexFDO

Authors Hyunhee Choi, Moonsu Kang

Publication date 11 August 2014

Published in Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jkss.2013.09.003

zbMATH Keywords

time seriesmixture modelvolatilityAICcmodified likelihood testoptimal sampling frequency

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

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Cites work

• scientific article; zbMATH DE number 1219611 (Why is no real title available?)
• scientific article; zbMATH DE number 2042819 (Why is no real title available?)
• scientific article; zbMATH DE number 2148836 (Why is no real title available?)
• A modified likelihood ratio test for homogeneity in finite mixture models
• A new look at the statistical model identification
• Analysis of Financial Time Series
• Analysis of Tomato Root Initiation Using a Normal Mixture Distribution
• Bayesian inference for the proportion of true null hypotheses using minimum Hellinger distance
• Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
• Finite Sample Evidence Suggesting a Heavy Tail Problem of the Generalized Empirical Likelihood Estimator
• Finite mixture models
• Generalized autoregressive conditional heteroscedasticity
• Modified likelihood ratio test in finite mixture models with a structural parameter
• Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?
• Realized Volatility: A Review
• Regression and time series model selection in small samples
• Testing for a Finite Mixture Model with Two Components

Cited in

(3)

• Stochastic natural frequency of composite conical shells
• Taming impulsive high-frequency data using optimal sampling periods
• High-frequency sampling of a continuous-time ARMA process

Describes a project that uses

Uses Software

• FinTS

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