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Asymptotic equivalence for inference on the volatility from noisy observations
High-frequency data diffusions with measurement error mi-crostructure noise integrated volatility spot volatility estimation Le Cam deficiency equivalence of experiments Gaussian shift
2011/5/11
We consider discrete-time observations of a continuous martin-
gale under measurement error. This serves as a fundamental model
for high-frequency data in finance, where an efficient price process
...