Central limit theorems of range-based estimators for diffusion models

DOI10.1080/03610926.2018.1523432MaRDI QIDQ5077958zbMATH OpenOpenAlexWikidataFDO

Authors Jingwei Cai, Quanxin Zhu, Ping Chen, Xia Mei

Publication date 20 May 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2018.1523432

zbMATH Keywords

central limit theoremconvergence in probabilityhigh frequency datarange-based instantaneous volatility estimator

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 7696400 (Why is no real title available?)
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• On estimating the diffusion coefficient from discrete observations
• Parametric inference for discretely observed multidimensional diffusions with small diffusion coefficient
• Realized range-based estimation of integrated variance
• Remarks on Some Nonparametric Estimates of a Density Function
• Wavelet estimation of the diffusion coefficient in time dependent diffusion models
• \(L_p\) estimation of the diffusion coefficient

Cited in

(2)

• Nonparametric range-based double smoothing spot volatility estimation for diffusion models
• Central limit theorem for mean and variogram estimators in Lévy–based models

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