An infinite dimensional convolution theorem with applications to the efficient estimation of the integrated volatility
Résumé
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.
Origine : Fichiers produits par l'(les) auteur(s)
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