Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes
Asymptotic normality of a covariance estimator for nonsynchronously observed diffusion processes
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DOI：
10.1007/s10463-007-0138-0
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发表时间：
2008-06-01
影响因子：
1
通讯作者：
Yoshida, Nakahiro
中科院分区：
文献类型：
--
作者：
Hayashi, Takaki;Yoshida, Nakahiro
我们考虑两个扩散型过程的协方差估计问题，当它们只在离散时间以非同步的方式被观察时。在2003年的工作中，我们提出了一种新的估计量，它不需要对原始数据进行任何“同步”处理，并证明了当观测间隔缩小到零时，它对过程的真实协方差是一致的; Hayashi和Yoshida（Bernoulli，11，359-379，2005）。本文是其续篇。具体地说，它建立了一般非同步抽样方案中的估计量的渐近正态性。
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.