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An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory
Density estimation Kullback–Leibler divergence
2011/7/6
The article is devoted to the nonparametric estimation of the quadratic covariation of non-synchronously observed It\^o processes in an additive microstructure noise model.
Robust Adaptive Rate-Optimal Testing for the White Noise Hypothesis
Noise Hypothesis HAC Inference Automatic nonparametric tests Adaptive rate-optimality
2011/7/5
A new test is proposed for the weak white noise null hypothesis. The test is based on an automatic choice of the order for a Box-Pierce or Hong test statistic.