Zobrazeno 1 - 3
of 3
pro vyhledávání: '"Dennis Schroers"'
Publikováno v:
Stochastic Processes and their Applications. 145:241-268
This article generalises the concept of realised covariation to Hilbert-space-valued stochastic processes. More precisely, based on high-frequency functional data, we construct an estimator of the trace-class operator-valued integrated volatility pro
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3f6fd719851de1d3bcd87291704dfa79
https://doi.org/10.1016/j.spa.2021.12.011
https://doi.org/10.1016/j.spa.2021.12.011
Copulas are appealing tools in multivariate probability theory and statistics. Nevertheless, the transfer of this concept to infinite dimensions entails some nontrivial topological and functional analytic issues, making a deeper theoretical understan
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e95d94706edb987ae7536c131d3ed662
http://hdl.handle.net/10852/93802
http://hdl.handle.net/10852/93802
Although copulas are used and defined for various infinite-dimensional objects (e.g. Gaussian processes and Markov processes), there is no prevalent notion of a copula that unifies these concepts. We propose a unified approach and define copulas as p
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f5436cc8b70955cad0f3ea701fa2dbc9