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  • Research Showcase, Cmu, Lan Zhang, Per A Mykland, Yacine A¨ıt-Sahalia
  • 2003
It is a common financial practice to estimate volatility from the sum of frequently-sampled squared returns. However market microstructure poses challenge to this estimation approach, as evidenced by recent empirical studies in finance. This work attempts to lay out theoretical grounds that reconcile continuous-time modeling and discrete-time samples. We(More)
Owing to the structure of the Gaussian multiple-input multiple-output (MIMO) broadcast channel (BC), associated optimization problems such as capacity region computation and beamforming optimization are typically non-convex, and cannot be solved directly. One feasible approach to these problems is to transform them into their dual multiple access channel(More)
The rhesus macaque (Macaca mulatta) is an abundant primate species that diverged from the ancestors of Homo sapiens about 25 million years ago. Because they are genetically and physiologically similar to humans, rhesus monkeys are the most widely used nonhuman primate in basic and applied biomedical research. We determined the genome sequence of an(More)
The first generation of genome sequence assemblies and annotations have had a significant impact upon our understanding of the biology of the sequenced species, the phylogenetic relationships among species, the study of populations within and across species, and have informed the biology of humans. As only a few Metazoan genomes are approaching finished(More)
Classical statistics suggest that for inference purposes one should always use as much data as is available. We study how the presence of market microstructure noise in high-frequency financial data can change that result. We derive the optimal sampling frequency when the observations are contaminated by market microstructure effects: empirically, it is(More)
Recent studies show that WiFi interference has been a major problem for low power urban sensing technology ZigBee networks. Existing approaches for dealing with such interferences often modify either the ZigBee nodes or WiFi nodes. However, massive deployment of ZigBee nodes and uncooperative WiFi users call for innovative cross-technology coexistence(More)
With the availability of high frequency financial data, nonparametric estimation of volatility of an asset return process becomes feasible. A major problem is how to estimate the volatility consistently and efficiently, when the observed asset returns contain error or noise, for example, in the form of microstructure noise. The former (consistency) has been(More)
A spectrum sharing based cognitive radio (CR) communication system, which consists of a secondary user (SU) having multiple transmit antennas and a single receive antenna and a primary user (PU) having a single receive antenna, is considered. The channel state information (CSI) on the link of the SU is assumed to be perfectly known at the SU transmitter(More)