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Publication

High-Frequency Analysis Of Parabolic Stochastic Pdes

Carsten Hao Ye Chong
2020
Journal Articles

Abstract

We consider the problem of estimating stochastic volatility for a class of second-order parabolic stochastic PDEs. Assuming that the solution is observed at high temporal frequency, we use limit theorems for multipower variations and related functionals to construct consistent nonparametric estimators and asymptotic confidence bounds for the integrated volatility process. As a byproduct of our analysis, we also obtain feasible estimators for the regularity of the spatial covariance function of the noise.

Official source

https://infoscience.epfl.ch/entities/publication/29a762b1-facd-45f2-9ea1-e640a598b804

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Carsten Hao Ye Chong
2020
Journal Articles

Abstract

Official source

https://infoscience.epfl.ch/entities/publication/29a762b1-facd-45f2-9ea1-e640a598b804

About this result

Related concepts (27)

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In statistics, maximum likelihood estimation (MLE) is a method of estimating the parameters of an assumed probability distribution, given some observed data. This is achieved by maximizing a likelihood function so that, under the assumed statistical model, the observed data is most probable. The point in the parameter space that maximizes the likelihood function is called the maximum likelihood estimate. The logic of maximum likelihood is both intuitive and flexible, and as such the method has become a dominant means of statistical inference.

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