Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes

Takaki Hayashi, Nakahiro Yoshida

研究成果: Article査読

40 被引用数 (Scopus)

抄録

We consider the problem of estimating the covariance of two diffusion-type processes when they are observed only at discrete times in a nonsynchronous manner. In our previous work in 2003, we proposed a new estimator which is free of any 'synchronization' processing of the original data and showed that it is consistent for the true covariance of the processes as the observation interval shrinks to zero; Hayashi and Yoshida (Bernoulli, 11, 359-379, 2005). This paper is its sequel. Specifically, it establishes asymptotic normality of the estimator in a general nonsynchronous sampling scheme.

本文言語English
ページ(範囲)367-406
ページ数40
ジャーナルAnnals of the Institute of Statistical Mathematics
60
2
DOI
出版ステータスPublished - 2008 6月 1

ASJC Scopus subject areas

  • 統計学および確率

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