Related papers: Statistical Properties of Microstructure Noise
The main contribution of the paper is proving that the Fourier spot volatility estimator introduced in [Malliavin and Mancino, 2002] is consistent and asymptotically efficient if the price process is contaminated by microstructure noise.…
We study statistical inference for small-noise-perturbed multiscale dynamical systems under the assumption that we observe a single time series from the slow process only. We construct estimators for both averaging and homogenization…
We study statistical inference for small-noise-perturbed multiscale dynamical systems. We prove consistency, asymptotic normality, and convergence of all scaled moments of an appropriately-constructed maximum likelihood estimator (MLE) for…
We derive the second-order sampling properties of certain autocovariance and autocorrelation estimators for sequences of independent and identically distributed samples. Specifically, the estimators we consider are the classic lag windowed…
We obtained a semi-analytical treatment obtaining estimators for the sample variance and variance of sample variance for the RTS noise. Our method suggests a way to experimentally determine the constants of capture and emission in the case…
Calibration, the practice of choosing the parameters of a structural model to match certain empirical moments, can be viewed as minimum distance estimation. Existing standard error formulas for such estimators require a consistent estimate…
The study of quenched random systems is facilitated by the idea that the ensemble averages describe the thermal averages for any specific realization of the couplings, provided the system is large enough. Careful examination suggests that…
We present a statistical analysis of music scores from different composers using detrended fluctuation analysis. We find different fluctuation profiles that correspond to distinct auto-correlation structures of the musical pieces. Further,…
The usual interpretation of noise is represented by a sum of many independent two-level elementary random signals with a distribution of relaxation times. In this paper it is demonstrated that also the superposition of many similar…
We analyze different data of the variation of the fine structure constant obtained with different methods to check their consistency.We test consistency using the modified Student test and confidence intervals. We split the data sets in…
Outdoor shooting ranges are subject to noise regulations from local and national authorities. Restrictions found in these regulations may include limits on times of activities, the overall number of noise events, as well as limits on number…
In the linear random effects model, when distributional assumptions such as normality of the error variables cannot be justified, moments may serve as alternatives to describe relevant distributions in neighborhoods of their means.…
Recently, several powerful tools for the reconstruction of stochastic differential equations from measured data sets have been proposed [e.g. Siegert et al., Physics Letters A 243, 275 (1998); Hurn et al., Journal of Time Series Analysis…
Numerical studies of quantum field theories usually rely upon an accurate determination of stochastically estimated correlation functions in order to extract information about the spectrum of the theory and matrix elements of operators. The…
We apply Bayesian statistics to the estimation of correlation functions. We give the probability distributions of auto- and cross-correlations as functions of the data. Our procedure uses the measured data optimally and informs about the…
Motion simulators are widely employed in basic and applied research to study the neural mechanisms of perception and action under inertial stimulations. In these studies, uncontrolled simulator-introduced noise inevitably leads to a…
We study stationarity and moments properties of some count time series models from contraction and stability properties of iterated random maps. Both univariate and multivariate processes are considered, including the recent multivariate…
Co-prime arrays and samplers with multiple periods is a framework in which the co-prime structure is repeated multiple times. In this paper, the effects of perturbations in sampling locations on the difference set of the prototype co-prime…
The invariants of an attractor have been the most used resource to characterize a nonlinear dynamics. Their estimation is a challenging endeavor in short-time series and/or in presence of noise. In this article we present two new…
Early warning indicators often suffer from the shortness and coarse-graining of real-world time series. Furthermore, the typically strong and correlated noise contributions in real applications are severe drawbacks for statistical measures.…