A semi-parametric algorithm for identification of Hammerstein systems in the presence of correlated noise is proposed. The procedure is based on the non-parametric kernel regression estimator and the standard least squares. The advantages of the method in comparison with the standard non-parametric approach are discussed. Limit properties of the proposed estimator are studied, and the simulatio...

A central limit theorem for the realized volatility estimator of the integrated volatility based on a specific random sampling scheme is proved. The estimator is shown to be also robust to market microstructure noise induced by price discreteness and bid-ask spreads.

The purpose of this paper is to estimate the self-similarity index of the Rosenblatt process by using the Whittle estimator. Via chaos expansion into multiple stochastic integrals, we establish a non-central limit theorem satisfied by this estimator. We illustrate our results by numerical simulations. 2000 AMS Classification Numbers: Primary: 60G18; Secondary 60F05, 60H05, 62F12.

For financial assets whose best quotes almost always change by jumping by the market’s price tick size (one cent, five cents, etc.), this paper proposes an estimator of Quadratic Variation which controls for microstructure effects. It measures the prevalence of alternations, where quotes jump back to their just-previous price. It defines a simple property called “uncorrelated alternation”, whic...

This paper derives a theoretical limit for image registration and presents an iterative estimator that achieves the limit. The variance of any parametric registration is bounded by the Cramer-Rao bound (CRB). This bound is signal-dependent and is proportional to the variance of input noise. Since most available registration techniques are biased, they are not optimal. The bias, however, can be ...

We derive analytical expressions for the bias of the Jarzynski free-energy estimator from N nonequilibrium work measurements, for a generic work distribution. To achieve this, we map the estimator onto the random energy model in a suitable scaling limit parametrized by (logN)/μ, where μ measures the width of the lower tail of the work distribution, and then compute the finite-N corrections to t...

While differencing transformations can eliminate nonstationarity, they typically reduce signal strength and correspondingly reduce rates of convergence in unit root autoregressions. The present paper shows that aggregating moment conditions that are formulated in differences provides an orderly mechanism for preserving information and signal strength in autoregressions with some very desirable ...

We consider local least absolute deviation (LLAD) estimation for trend functions of time series with heavy tails which are characterised via a symmetric stable law distribution. The setting includes both causal stable ARMA model and fractional stable ARIMA model as special cases. The asymptotic limit of the estimator is established under the assumption that the process has either short or long ...