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Asymptotically efficient estimation of a scale parameter in Gaussian time series and closed-form expressions for the Fisher information
efficient estimation fractional Brownian motion Fisher information general monotone sequence regular variation slowly varying functions spectral density.
2012/9/18
Mimicking the maximum likelihood estimator, we construct first order Cramer-Rao efficient and explicitly computable estimators for the scale parameterσ2 in the model Zi,n =σn−βXi+Yi, i = 1, . . ...
Quarticity and other functionals of volatility: efficient estimation
semimartingale high frequency data volatility estimation central limit theo-rem efficient estimation
2012/9/19
We consider a multidimensional It坥 semimartingale regularly sampled on [0,t] at high frequency 1/∆n, with ∆n going to zero. The goal of this paper is to provide an estimator for the integr...