On covariation estimation for multivariate continuous Itô semimartingales with noise in non-synchronous observation schemes.
Kim ChristensenMark PodolskijMathias VetterPublished in: J. Multivar. Anal. (2013)
Keyphrases
- estimation algorithm
- estimation error
- continuous valued
- signal to noise ratio
- noise level
- random noise
- missing data
- signal subspace
- measurement error
- accurate estimation
- additive noise
- noisy data
- noise model
- image noise
- estimation accuracy
- noise free
- noise removal
- density estimation
- noise sensitivity
- parameter estimation