Estimation of a noisy subordinated Brownian motion via two-scales power variations

DOI10.1016/j.jspi.2017.05.004zbMath1376.62019arXiv1702.01164MaRDI QIDQ2408746

José E. Figueroa-López, Kiseop Lee

Publication date: 13 October 2017

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1702.01164

zbMATH Keywords

Itô process; microstructure noise; geometric Lévy models; kurtosis and volatility estimation; power variation estimators; robust estimation methods

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

62G35: Nonparametric robustness

62G05: Nonparametric estimation

60J65: Brownian motion

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Optimum thresholding using mean and conditional mean squared error, Bayesian inference on volatility in the presence of infinite jump activity and microstructure noise

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