An infinite dimensional convolution theorem with applications to the efficient estimation of the integrated volatility

This paper proposes a general approach to obtain asymptotic lower bounds for the estimation of random functionals. The main result is an abstract convolution theorem in a non parametric setting, based on an associated LAMN property. This result is then applied to the estimation of the integrated volatility, or related quantities, of a diffusion process, when the diffusion coefficient depends on an independent Brownian motion.

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Year of publication:	2013
Authors:	Clément, Emmanuelle ; Delattre, Sylvain ; Gloter, Arnaud
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 123.2013, 7, p. 2500-2521
Publisher:	Elsevier
Subject:	LAMN property \| Convolution theorem \| Diffusion process

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010875082