Estimation of longrun variance of continuous time stochastic process using discrete sample
Year of publication: |
2019
|
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Authors: | Lu, Ye ; Park, Joon Y. |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 210.2019, 2, p. 236-267
|
Subject: | Bandwidth selection | Continuous time model | Kernel estimation | Longrun variance estimator | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process |
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