A frequency domain analysis of the error distribution from noisy high-frequency data
Jinyuan Chang, Aurore Delaigle, Peter Hall, Chengyong Tang
Biometrika | OXFORD UNIV PRESS | Published : 2018
We are grateful to the editor, an associate editor and two referees for their helpful suggestions. Chang was supported in part by the Fundamental Research Funds for the Central Universities of China, the National Natural Science Foundation of China, and the Center of Statistical Research and the Joint Lab of Data Science and Business Intelligence at Southwestern University of Finance and Economics. Delaigle was supported by a Future Fellowship and a Discovery Project from the Australian Research Council. Hall was supported by a Laureate Fellowship and a Discovery Project from the Australian Research Council. Tang acknowledges support from the U.S. National Science Foundation.