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.
|ジャーナル||Annals of the Institute of Statistical Mathematics|
|出版ステータス||Published - 2008 6月 1|
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