Optimal design of Fourier estimator in the presence of microstructure noise
Year of publication: |
2014
|
---|---|
Authors: | Wang, Fangfang |
Published in: |
Computational Statistics & Data Analysis. - Elsevier, ISSN 0167-9473. - Vol. 76.2014, C, p. 708-722
|
Publisher: |
Elsevier |
Subject: | Discrete Fourier transform | Quadratic variation | Microstructure noise | Periodogram | Spectral density | Whittle likelihood |
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