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Martingale Limit Theory and Its Application
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The article was published on 2014-09-23 and is currently open access. It has received 3075 citations till now. The article focuses on the topics: Local martingale & Doob's martingale inequality.read more
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Spectral Estimation of Covolatility from Noisy Observations Using Local Weights
Markus Bibinger,Markus Reiß +1 more
TL;DR: In this article, localized spectral estimators for the quadratic covariation and the spot covolatility of diffusion processes, which are observed discretely with additive observation noise, are proposed.
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Estimation of Peer Effects in Endogenous Social Networks: Control Function Approach
Ida Johnsson,Hyungsik Roger Moon +1 more
TL;DR: In this article, the authors propose a method of estimating the linear-in-means model of peer effects in which the peer group defined by a social network is endogenous in the outcome equation for peer effects.
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Multivariate-Sign-Based High-Dimensional Tests for the Two-Sample Location Problem
TL;DR: In this paper, a scalar-invariant test statistic is proposed for the two-sample location problem when data dimension is larger than the sample size, which is particularly useful when different components have different scales in highdimensional data.
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Point process diagnostics based on weighted second-order statistics and their asymptotic properties
TL;DR: In this paper, a new approach for point process diagnostics is presented based on extending second-order statistics for point processes by weighting each point by the inverse of the conditional intensity function at the point's location.
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Polya Urn Models and Connections to Ran- dom Trees: A Review
TL;DR: In this paper, a review of Polya urn models and their connec- tion to random trees is presented, together with proofs that underly the historical evolution of the accompanying thought process.