Confidence interval for correlation estimator between latent processes

Akitoshi Kimura

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arXiv · 1710.06683

Confidence interval for correlation estimator between latent processes

Akitoshi Kimura

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Abstract

Kimura and Yoshida treated a model in which the finite variation part of a two-dimensional semimartingale is expressed by time-integration of latent processes. They proposed a correlation estimator between the latent processes and proved its consistency and asymptotic mixed normality. In this paper, we discuss the confidence interval of the correlation estimator to detect the correlation. %between latent processes. We propose two types of estimators for asymptotic variance of the correlation estimator and prove their consistency in a high frequency setting. Our model includes doubly stochastic Poisson processes whose intensity processes are correlated It\^o processes. We compare our estimators based on the simulation of the doubly stochastic Poisson processes.

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Akitoshi Kimura. 2017-10-18. Confidence interval for correlation estimator between latent processes. https://arxiv.org/abs/1710.06683

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