Inference for Multi‐dimensional High‐frequency Data with an Application to Conditional Independence Testing
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Publication:2835311
DOI10.1111/sjos.12230zbMath1373.62511arXiv1301.2074OpenAlexW2337498378MaRDI QIDQ2835311
Per Aslak Mykland, Markus Bibinger
Publication date: 2 December 2016
Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1301.2074
high-frequency dataconditional independenceasynchronous observationsasymptotic distribution theorymicrostructure noisemultivariate limit theorems
Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05)
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