Asymptotic equivalence for inference on the volatility from noisy observations

DOI10.1214/10-AOS855zbMath1215.62113arXiv1105.2128MaRDI QIDQ548535

Markus Reiss

Publication date: 29 June 2011

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1105.2128

zbMATH Keywords

high-frequency data; microstructure noise; integrated volatility; diffusions with measurement error; equivalence of experiments; Gaussian shift; Le Cam deficiency; spot volatility estimation

Mathematics Subject Classification ID

62G20: Asymptotic properties of nonparametric inference

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

62B15: Theory of statistical experiments

60G44: Martingales with continuous parameter

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