The grid bootstrap for continuous time models
This paper considers the grid bootstrap for constructing confidence intervals for the persistence parameter in a class of continuous time models driven by a Levy process. Its asymptotic validity is established by assuming the sampling interval (h) shrinks to zero. Its improvement over the in-fill as...
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| Main Authors: | , , |
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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
2018
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| 主題: | |
| 在線閱讀: | https://ink.library.smu.edu.sg/soe_research/2210 https://ink.library.smu.edu.sg/context/soe_research/article/3209/viewcontent/gridbootcont19_.pdf |
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| 機構: | Singapore Management University |
| 語言: | English |