The Annals of Statistics
- Ann. Statist.
- Volume 42, Number 4 (2014), 1312-1346.
Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency
An efficient estimator is constructed for the quadratic covariation or integrated co-volatility matrix of a multivariate continuous martingale based on noisy and nonsynchronous observations under high-frequency asymptotics. Our approach relies on an asymptotically equivalent continuous-time observation model where a local generalised method of moments in the spectral domain turns out to be optimal. Asymptotic semi-parametric efficiency is established in the Cramér–Rao sense. Main findings are that nonsynchronicity of observation times has no impact on the asymptotics and that major efficiency gains are possible under correlation. Simulations illustrate the finite-sample behaviour.
Ann. Statist., Volume 42, Number 4 (2014), 1312-1346.
First available in Project Euclid: 25 June 2014
Permanent link to this document
Digital Object Identifier
Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 62M10: Time series, auto-correlation, regression, etc. [See also 91B84]
Secondary: 62G05: Estimation
Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; Reiß, Markus. Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency. Ann. Statist. 42 (2014), no. 4, 1312--1346. doi:10.1214/14-AOS1224. https://projecteuclid.org/euclid.aos/1403715202
- Supplementary material: Lower bound proofs for estimating the quadratic covariation matrix from noisy observations. We provide detailed proofs for Section 5.