Estimation of a noisy subordinated Brownian motion via two-scales power variations
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Publication:2408746
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
Itô process; microstructure noise; geometric Lévy models; kurtosis and volatility estimation; power variation estimators; robust estimation methods
60G51: Processes with independent increments; Lévy processes
62G35: Nonparametric robustness
62G05: Nonparametric estimation
60J65: Brownian motion
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