Second-order asymptotic expansion for a non-synchronous covariation estimator

Annales de l'institut Henri Poincare (B) Probability and Statistics

Volumn 47, Issue 3, 2011, Pages 748-789

  Dalalyan, Arnak ^a   Yoshida, Nakahiro ^b  

^a UNIVERSITÉ PARIS EST   (France)

^b UNIVERSITY OF TOKYO   (Japan)

Author keywords

Asynchronous observations; Covariation estimation; Diffusion process; Edgeworth expansion; Poisson sampling

Indexed keywords

EID: 79960165359     PISSN: 02460203     EISSN: None     Source Type: Journal    
DOI: 10.1214/10-AIHP383     Document Type: Article

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