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제목 [학술세미나] [학과세미나] 5월 4일(금) 11시 학과세미나 안내
작성일 2018-04-27 15:42:01
내용 [학과세미나]  5월 4일(금) 11시 학과세미나 안내

▪ 제목 : Estimation of a noisy subordinated Brownian Motion via two-scales power variations

▪ 연사 : 이기섭 (Purdue University)

▪ 일시 : 2018년 5월 4일(금) AM 11:00 – 12:00

▪ 장소 : 25동 405호

[초 록] 
High frequency based estimation methods for a semiparametric pure-jump sub- ordinated Brownian motion exposed to a small additive microstructure noise are de- veloped building on the two-scales realized variations approach originally developed by Zhang et al. (2005) for the estimation of the integrated variance of a continuous Itˆo process. The proposed estimators are shown to be robust against the noise and, surprisingly, to attain better rates of convergence than their precursors, method of moment estimators, even in the absence of microstructure noise. Our main results give approximate optimal values for the number K of regular sparse subsamples to be used, which is an important tune-up parameter of the method. Finally, a data-driven plug-in procedure is devised to implement the proposed estimators with the optimal K-value. The developed estimators exhibit superior performance as illustrated by Monte Carlo simulations and a real high-frequency data application.
Joint work with Jos ́e E. Figueroa-Lo ́pez
파일 세미나 안내_180504_이기섭.hwp [14KB]