Cross-Sectional Noise Reduction and More Efficient Estimation of Integrated Variance
نویسندگان
چکیده
منابع مشابه
Noise exposure and risk of hypertension: a cross-sectional study
Abstract Background: Previous studies have indicated an unspecific correlation between noise exposure and blood pressure disturbances. Blood pressure disturbances could be caused by the environmental hazards such as noise exposure. The aim of this study is to analyze whether there is a relationship between noise exposure and hypertension. Methods: Atotal sample of 218 workers workin...
متن کاملNoise Variance Estimation in Images
Figure 3: The distribution of the estimated noise in an image (Lenna) to which noise with a uniform shaped distribution is added. Also shown are the true noise distribution and the theoretically estimated distribution. The latter is obtained by convolving the (truncated) uniform function with a normal function.
متن کاملEfficient Weighting: A More Powerful Test for Cross-Sectional Anomalies
Many researchers seek factors that predict the cross-section of stock returns. The standard methodology sorts stocks according to their factor scores into quantiles and forms a corresponding long-short portfolio. Such a course of action ignores any information on the covariance matrix of stock returns. Historically, it has been difficult to estimate the covariance matrix for a large universe of...
متن کاملNearest Neighbor Distributions and Noise Variance Estimation
In this paper, we address the problem of deriving bounds for the moments of nearest neighbor distributions. The bounds are formulated for the general case and specifically applied to the problem of noise variance estimation with the Delta test and the Gamma test. For this problem, we focus on the rate of convergence and the bias of the estimators and validate the theoretical achievements with e...
متن کاملCross sectional efficient estimation of stochastic volatility short rate models
We consider the problem of estimation of term structure of interest rates. Filtering theory approach is very natural here with the underlying setup being non-linear and non-Gaussian. Earlier works make use of Extended Kalman Filter (EKF). However, as indicated by de Jong (2000), the EKF in this situation leads to inconsistent estimation of parameters, though without high bias. One way to avoid ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2018
ISSN: 1556-5068
DOI: 10.2139/ssrn.3200326