Bernoulli

On covariance estimation of non-synchronously observed diffusion processes

Takaki Hayashi and Nakahiro Yoshida

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Abstract

We consider the problem of estimating the covariance of two diffusion processes when they are observed only at discrete times in a non-synchronous manner. The modern, popular approach in the literature, the realized covariance estimator, which is based on (regularly spaced) synchronous data, is problematic because the choice of regular interval size and data interpolation scheme may lead to unreliable estimation. We propose a new estimator which is free of any `synchronization' processing of the original data, hence free of bias or other problems caused by it.

Article information

Source
Bernoulli Volume 11, Number 2 (2005), 359-379.

Dates
First available in Project Euclid: 17 May 2005

Permanent link to this document
http://projecteuclid.org/euclid.bj/1116340299

Mathematical Reviews number (MathSciNet)
MR2132731

Zentralblatt MATH identifier
02182619

Digital Object Identifier
doi:10.3150/bj/1116340299

Citation

Hayashi, Takaki; Yoshida, Nakahiro. On covariance estimation of non-synchronously observed diffusion processes. Bernoulli 11 (2005), no. 2, 359--379. doi:10.3150/bj/1116340299. http://projecteuclid.org/euclid.bj/1116340299.


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