An infinite dimensional convolution theorem with applications to the efficient estimation of the integrated volatility
نویسندگان
چکیده
This paper proposes a general approach to obtain asymptotic lower bounds for the estimation of random functionals. The main result is an abstract convolution theorem in a non parametric setting, based on an associated LAMN property. This result is then applied to the estimation of the integrated volatility, or related quantities, of a diffusion process, when the diffusion coefficient depends on an independent Brownian motion. MSC 2010. Primary: 62G20, Secondary: 60F05, 60H05.
منابع مشابه
Existence of solutions of infinite systems of integral equations in the Frechet spaces
In this paper we apply the technique of measures of noncompactness to the theory of infinite system of integral equations in the Fr´echet spaces. Our aim is to provide a few generalization of Tychonoff fixed point theorem and prove the existence of solutions for infinite systems of nonlinear integral equations with help of the technique of measures of noncompactness and a generalization of Tych...
متن کاملAn extension theorem for finite positive measures on surfaces of finite dimensional unit balls in Hilbert spaces
A consistency criteria is given for a certain class of finite positive measures on the surfaces of the finite dimensional unit balls in a real separable Hilbert space. It is proved, through a Kolmogorov type existence theorem, that the class induces a unique positive measure on the surface of the unit ball in the Hilbert space. As an application, this will naturally accomplish the work of Kante...
متن کاملEfficient Estimation of Integrated Volatility in Presence of Infinite Variation Jumps
We propose new nonparametric estimators of the integrated volatility of an Itô semimartingale observed at discrete times on a fixed time interval with mesh of the observation grid shrinking to zero. The proposed estimators achieve the optimal rate and variance of estimating integrated volatility even in the presence of infinite variation jumps when the latter are stochastic integrals with respe...
متن کاملApplication of Convolution of Daubechies Wavelet in Solving 3D Microscale DPL Problem
In this work, the triple convolution of Daubechies wavelet is used to solve the three dimensional (3D) microscale Dual Phase Lag (DPL) problem. Also, numerical solution of 3D time-dependent initial-boundary value problems of a microscopic heat equation is presented. To generate a 3D wavelet we used the triple convolution of a one dimensional wavelet. Using convolution we get a scaling function ...
متن کاملApplication of measures of noncompactness to infinite system of linear equations in sequence spaces
G. Darbo [Rend. Sem. Math. Univ. Padova, 24 (1955) 84--92] used the measure of noncompactness to investigate operators whose properties can be characterized as being intermediate between those of contraction and compact operators. In this paper, we apply the Darbo's fixed point theorem for solving infinite system of linear equations in some sequence spaces.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2012