Fourier transform methods for pathwise covariance estimation in the presence of jumps
DOI10.1016/j.spa.2014.07.023zbMath1347.60009arXiv1301.3602MaRDI QIDQ468730
Josef Teichmann, Christa Cuchiero
Publication date: 7 November 2014
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1301.3602
consistency; Fourier analysis; central limit theorem; jump-diffusion; jump-robust estimation; non-parametric spot variance estimation
62G20: Asymptotic properties of nonparametric inference
91G70: Statistical methods; risk measures
62G05: Nonparametric estimation
60F05: Central limit and other weak theorems
60G48: Generalizations of martingales
60J60: Diffusion processes
42A38: Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type
