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Asymptotic equivalence for inference on the volatility from noisy observations
High-frequency data diffusions with measurement error mi-crostructure noise integrated volatility spot volatility estimation Le Cam deficiency equivalence of experiments Gaussian shift
2011/6/17
We consider discrete-time observations of a continuous martin-
gale under measurement error. This serves as a fundamental model
for high-frequency data in finance, where an efficient price process
...
The Asymptotic Covariance Matrix of the Odds Ratio Parameter Estimator in Semiparametric Log-bilinear Odds Ratio Models
Odds ratio asymptotic covariance matrix conditional sampling semiparametric log-linear models log-bilinear association logistic regression linear regression
2011/6/16
The association between two random variables is often of primary interest in statistical
research. In this paper semiparametric models for the association between random
vectors X and Y are consider...
Consider the matrix Δn = (( I(Xi + Xj > 0) ))i,j =1,2,...,n where Xi are i.i.d. and their distribution is continuous and symmetric around 0. We show that the rank rn of this matrix is equal in dist...
On asymptotic properties of the rank of a special random adjacency matrix
asymptotic property random matrix adjacency matrix
2009/3/23
Consider the matrix Δn = (( I(Xi + Xj > 0) ))i,j =1,2,...,n where Xi are i.i.d. and their distribution is continuous and symmetric around 0. We show that the rank rn of this matrix is equal in dist...