5 papers
Asset-specific limit order microstructure noise: Parameter estimation and empirical evidence
Markus Bibinger, Adrian Grüber, Moritz Jirak
The one-sided microstructure noise model for high-frequency quotes from a limit order book is generalized to capture asset-specific noise tail behaviour. Estimation of a noise tail…
Asymptotic equivalence for nonparametric additive regression
Moritz Jirak, Alexander Meister, Angelika Rohde
We prove asymptotic equivalence of nonparametric additive regression and an appropriate Gaussian white noise experiment in which a multidimensional shifted Wiener process is observ…
Concentration and moment inequalities for sums of independent heavy-tailed random matrices
Moritz Jirak, Stanislav Minsker, Yiqiu Shen +1
We prove Fuk-Nagaev and Rosenthal-type inequalities for sums of independent random matrices, focusing on the situation when the norms of the matrices possess finite moments of only…
Weak dependence and optimal quantitative self-normalized central limit theorems
Moritz Jirak
Consider a stationary, weakly dependent sequence of random variables. Given only mild conditions, allowing for polynomial decay of the autocovariance function, we show a Berry-Esse…
Nonparametric local polynomial regression for functional covariates
Moritz Jirak, Alois Kneip, Alexander Meister +1
We consider nonparametric regression with functional covariates, that is, they are elements of an infinite-dimensional Hilbert space. A locally polynomial estimator is constructed,…