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

Emmanuelle Clément, Sylvain Delattre and Arnaud Gloter

Stochastic Processes and their Applications, 2013, vol. 123, issue 7, 2500-2521

Abstract: 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.

Keywords: LAMN property; Convolution theorem; Diffusion process (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (7)

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DOI: 10.1016/j.spa.2013.04.004

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