.png){kind=icon}
返回
ANOVA for diffusions and Ito processes
.png){kind=icon}
OA
AI
DOI：10.1214/009053606000000452.png)
.png){kind=icon}
.png){kind=icon}
分享.png){kind=icon}
收藏
摘要
En 中文
U processes are the most common form of continuous semimartingales, and include diffusion processes. This paper is concerned with the nonparametric regression relationship between two such U processes. We are interested in the quadratic variation (integrated volatility) of the residual in this regression, over a unit of time (such as a day). A main conceptual finding is that this quadratic variation can be estimated almost as if the residual process were observed, the difference being that there is also a bias which is of the same asymptotic order as the mixed normal error term. The proposed methodology, ANOVA for diffusions and Ito processes, can be used to measure the statistical quality of a parametric model and, nonparametrically, the appropriateness of a one-regressor model in general. On the other hand, it also helps quantify and characterize the trading (hedging) error in the case of financial applications.
Keyword:
ANOVA
continuous sernimartingale
statistical uncertainty
goodness of fit
discrete sampling
parametric and nonparametric estimation
small interval asymptotics
stable convergence
option hedging
AI总结
对已上传原文的论文进行重点信息的提取，主要内容包括：简要概述、研究摘要、背景介绍、关键亮点、图文解析、展望与总结。
期刊
IF:
3.7
论文数:
2.8K
被引数:
2.9W
机构
暂无机构信息
引用论文
Assessing the validity of indicators of the quality of maternal and newborn health care in KenyaOAAI
.png){kind=icon}
OAAI分享收藏分享收藏A single-chip narrow-band frequency-domain excisor for a Global Positioning System (GPS) receiver
PREAI
分享收藏
查看更多内容