Estimating the Covariance Matrix From Unsynchronized High Frequency Financial Data (Classic Reprint)

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Excerpt from Estimating the Covariance Matrix From Unsynchronized High Frequency Financial Data Suppose that two time series and are observations from two processes of (1) with observation noise. To further simplify the problem. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully, any imperfections that remain are intentionally left to preserve the state of such historical works.