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Title:

High-frequency analysis of parabolic stochastic PDEs

Document type:
Zeitungsartikel
Author(s):
Chong, C.
Abstract:
We consider the problem of estimating stochastic volatility for a class of second-order parabolic stochastic PDEs. Assuming that the solution is observed at a high temporal frequency, we use limit theorems for multipower variations and related functionals to construct consistent nonparametric estimators and asymptotic confidence bounds for the integrated volatility process. As a byproduct of our analysis, we also obtain feasible estimators for the regularity of the spatial covariance function of...     »
Dewey Decimal Classification:
510 Mathematik
Journal title:
Annals of Statistics
Year:
2020
Journal volume:
48
Quarter:
2. Quartal
Journal issue:
2
Pages contribution:
1143-1167
Language:
en
Fulltext / DOI:
doi:10.1214/19-AOS1841
Status:
Erstveröffentlichung
TUM Institution:
Lehrstuhl für Mathematische Statistik
Format:
Text
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