英文标题：
《Estimation of a noisy subordinated Brownian Motion via two-scales power
variations》
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作者：
Jose E. Figueroa-Lopez and K. Lee
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最新提交年份：
2017
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英文摘要：
High frequency based estimation methods for a semiparametric pure-jump subordinated Brownian motion exposed to a small additive microstructure noise are developed building on the two-scales realized variations approach originally developed by Zhang et. al. (2005) for the estimation of the integrated variance of a continuous Ito process. The proposed estimators are shown to be robust against the noise and, surprisingly, to attain better rates of convergence than their precursors, method of moment estimators, even in the absence of microstructure noise. Our main results give approximate optimal values for the number K of regular sparse subsamples to be used, which is an important tune-up parameter of the method. Finally, a data-driven plug-in procedure is devised to implement the proposed estimators with the optimal K-value. The developed estimators exhibit superior performance as illustrated by Monte Carlo simulations and a real high-frequency data application.
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中文摘要：
基于Zhang et al.（2005）最初开发的用于估计连续Ito过程积分方差的双尺度实现变分方法，开发了暴露于小加性微结构噪声的半参数纯跳跃从属布朗运动的高频估计方法。结果表明，所提出的估计器对噪声具有鲁棒性，令人惊讶的是，即使在没有微结构噪声的情况下，其收敛速度也优于其前体矩估计法。我们的主要结果给出了要使用的正则稀疏子样本数K的近似最优值，这是该方法的一个重要调整参数。最后，设计了一个数据驱动的插件程序来实现所提出的具有最佳K值的估计器。蒙特卡罗模拟和真实的高频数据应用表明，所开发的估计器具有优异的性能。
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分类信息：

一级分类：Mathematics 数学
二级分类：Statistics Theory 统计理论
分类描述：Applied, computational and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments, case studies
应用统计、计算统计和理论统计：例如统计推断、回归、时间序列、多元分析、数据分析、马尔可夫链蒙特卡罗、实验设计、案例研究
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一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Statistics 统计学
二级分类：Statistics Theory 统计理论
分类描述：stat.TH is an alias for math.ST. Asymptotics, Bayesian Inference, Decision Theory, Estimation, Foundations, Inference, Testing.
Stat.Th是Math.St的别名。渐近，贝叶斯推论，决策理论，估计，基础，推论，检验。
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