A frequency domain analysis of the error distribution from noisy high-frequency data
A frequency domain analysis of the error distribution from noisy high-frequency data
Data observed at high sampling frequency are typically assumed to be an additive composite of a relatively slow-varying continuous-time component, a latent stochastic process or a smooth random function, and measurement error. Supposing that the latent component is an It\^{o} diffusion process, we propose to estimate the measurement error density …