A CLT for second difference estimators with an application to volatility and intensity
DOI10.1214/22-AOS2176zbMath1500.60014arXiv1903.09873OpenAlexW4293483817MaRDI QIDQ2091830
Emil A. Stoltenberg, Per Aslak Mykland, Lan Zhang
Publication date: 2 November 2022
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1903.09873
convergence ratesmicrostructureconsistencycentral limit theoremcounting processessufficiencyintensityhigh frequencyasynchronous timesoverlapping intervalsirregular timesendogenous observation timesobserved asymptotic variancerolling intervalstwo-scales estimation
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09)
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