A0384
Title: Interval estimation for the covariance matrix of Ito processes with noisy observations under high-dimension asymptotics
Authors: Shuntaro Suzuki - Waseda University (Japan) [presenting]
Abstract: The nonparametric estimation of the covariance matrix of Ito processes is considered. The settings in the sample are obtained with microstructure noise, and the high-dimensional nature of the data is considered. A pre-averaging estimator is proposed based on discrete observations, and a theorem is established that guarantees the distribution of the estimator can be approximated by a normal distribution, even under high-dimensional settings.
