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math.ST2011★ 91 cited
Asymptotic equivalence for inference on the volatility from noisy observations
Markus Reiß
We consider discrete-time observations of a continuous martingale under measurement error. This serves as a fundamental model for high-frequency data in finance, where an efficient…
math.ST2011
Asymptotic Equivalence for Nonparametric Regression with Non-Regular Errors
Alexander Meister, Markus Reiß
Asymptotic equivalence in Le Cam's sense for nonparametric regression experiments is extended to the case of non-regular error densities, which have jump discontinuities at their e…