2 citations · 6 across the 15 of their papers we have counts for
14 papers
Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data
Ruijun Bu, Degui Li, Oliver Linton +1
In this paper, we consider estimating spot/instantaneous volatility matrices of high-frequency data collected for a large number of assets. We first combine classic nonparametric k…
Tail Bounds on the Spectral Norm of Sub-Exponential Random Matrices
Guozheng Dai, Zhonggen Su, Hanchao Wang
Let be an symmetric random matrix with independent but non-identically distributed entries. The deviation inequalities of the spectral norm of with Gaussian ent…
On Catoni's M-Estimation
Pengtao Li, Hanchao Wang
Catoni proposed a robust M-estimator and gave the deviation inequality for one fixed test function. The present paper is devoted to the uniform concentration inequality for a famil…
On De la Peña Type Inequalities for Point Processes
Naiqi Liu, Vladimir V. Ulyanov, Hanchao Wang
There has been a renewed interest in exponential concentration inequalities for stochastic processes in probability and statistics over the last three decades. De la Peña \cite{d}…
Non-uniform Berry-Esseen Bound by Unbounded Exchangeable Pair Approach
Dali Liu, Zheng Li, Hanchao Wang +1
In this paper, a new technique is introduced to obtain non-uniform Berry-Esseen bounds of normal and nonnormal approximation for unbounded exchangeable pairs. This technique does n…
Local Nonparametric Estimation for Second-Order Jump-Diffusion Model Using Gamma Asymmetric Kernels
Yuping Song, Hanchao Wang
This paper discusses the local linear smoothing to estimate the unknown first and second infinitesimal moments in second-order jump-diffusion model based on Gamma asymmetric kernel…
Discretization Error of Stochastic Iterated Integrals
Yuping Song, Hanchao Wang
In this paper, the weak convergence about the discretization error of stochastic iterated integrals in the Skorohod sense are studied, while the integrands and integrators of itera…
One-step Local M-estimator for Integrated Jump-Diffusion Models
Yuping Song, Hanchao Wang
In this paper, robust nonparametric estimators, instead of local linear estimators, are adapted for infinitesimal coefficients associated with integrated jump-diffusion models to a…
On Bernstein Type Inequalities for Stochastic Integrals of Multivariate Point Processes
Hanchao Wang, Zhengyan Lin, Zhonggen Su
We consider the stochastic integrals of multivariate point processes and study their concentration phenomena. In particular, we obtain a Bernstein type of concentration inequality…
A Donsker-type Theorem for Log-likelihood Processes
Zhonggen Su, Hanchao Wang
Let be a complete stochastic basis, a semimartingale with predictable compensator . Consider a family of probability me…
Central Limit Theorems of Local Polynomial Threshold Estimators for Diffusion Processes with Jumps
Yuping Song, Hanchao Wang
Central limit theorems play an important role in the study of statistical inference for stochastic processes. However, when the nonparametric local polynomial threshold estimator,…
Nonparametric Estimation of Second-Order Jump-Diffusion Model
Zheng-Yan Lin, Yu-Ping Song, Han-Chao Wang
We study the nonparametric estimators of the infinitesimal coefficients of the second-order jump-diffusion models. Under the mild conditions, we obtain the weak consistency and the…
Weak Convergence to Stochastic Integrals Driven by Stable Lévy Processes
Zhengyan Lin, Hanchao Wang
We use the martingale convergence method to get the weak convergence theorem on general functionals of partial sums of independent heavy-tailed random variables. The limiting proce…
On Convergence to Stochastic Integrals
Zheng-Yan Lin, Han-Chao Wang
Weak convergence of various general functionals of partial sums of dependent random variables to stochastic integral now play a major role in the modern statistics theory. In this…