4 papers · 1 filter
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…
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,…
Sharp oracle inequalities and universality of the AIC and FPE
Moritz Jirak, Georg Köstenberger
In two landmark papers, Akaike introduced the AIC and FPE, demonstrating their significant usefulness for prediction. In subsequent seminal works, Shibata developed a notion of asy…