Asymptotic efficiency for covariance estimation under noise and asynchronicity

2018/09/07 by Holtz, Sebastian
#62B15 #62G20 #62M10 #FOS: Mathematics #Statistics Theory (math.ST)

paper · doi:10.48550/arxiv.1809.02360

Abstract

The estimation of the covariance structure from a discretely observed multivariate Gaussian process under asynchronicity and noise is analysed under high-frequency asymptotics. Asymptotic lower and upper bounds are established for a general Gaussian framework which provides benchmark cases for various Gaussian process models of interest. The parametric bounds give rise to infinite-dimensional convolution theorems for covariation estimation under asynchronicity, which is an essential estimation problem in finance.

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