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math.ST2019
Multivariate Estimation of Poisson Parameters
Emil Aas Stoltenberg, Nils Lid Hjort
This paper is devoted to the multivariate estimation of a vector of Poisson means. A novel loss function that penalises bad estimates of each of the parameters and the sum (or equi…
math.ST2019★ 2 cited
A CLT for second difference estimators with an application to volatility and intensity
Emil A. Stoltenberg, Per A. Mykland, Lan Zhang
In this paper we introduce a general method for estimating the quadratic covariation of one or more spot parameters processes associated with continuous time semimartingales. This…