Benutzer: Gast  Login
Titel:

High-frequency analysis of parabolic stochastic PDEs

Dokumenttyp:
Zeitungsartikel
Autor(en):
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 Dezimalklassifikation:
510 Mathematik
Zeitschriftentitel:
Annals of Statistics
Jahr:
2020
Band / Volume:
48
Quartal:
2. Quartal
Heft / Issue:
2
Seitenangaben Beitrag:
1143-1167
Sprache:
en
Volltext / DOI:
doi:10.1214/19-AOS1841
Status:
Erstveröffentlichung
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik
Format:
Text
 BibTeX