Maximal correlation and the rate of Fisher information convergence in the Central Limit Theorem

We consider the behaviour of the Fisher information of scaled sums of independent and identically distributed random variables in the Central Limit Theorem regime. We show how this behaviour can be related to the second-largest non-trivial eigenvalue associated with the Hirschfeld--Gebelein--R\'{e}nyi maximal correlation. We prove that assuming this eigenvalue satisfies a strict inequality, an $O(1/n)$ rate of convergence and a strengthened form of monotonicity hold

Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency

An efficient estimator is constructed for the quadratic covariation or integrated co-volatility matrix of a multivariate continuous martingale based on noisy and nonsynchronous observations under high-frequency asymptotics. Our approach relies on an asymptotically equivalent continuous-time observation model where a local generalised method of moments in the spectral domain turns out to be optimal. Asymptotic semi-parametric efficiency is established in the Cram\'{e}r-Rao sense. Main findings are that nonsynchronicity of observation times has no impact on the asymptotics and that major efficiency gains are possible under correlation. Simulations illustrate the finite-sample behaviour.Comment: Published in at http://dx.doi.org/10.1214/14-AOS1224 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Taming systematic uncertainties at the LHC with the central limit theorem

We study the simplifications occurring in any likelihood function in the presence of a large number of small systematic uncertainties. We find that the marginalisation of these uncertainties can be done analytically by means of second-order error propagation, error combination, the Lyapunov central limit theorem, and under mild approximations which are typically satisfied for LHC likelihoods. The outcomes of this analysis are i) a very light treatment of systematic uncertainties ii) a convenient way of reporting the main effects of systematic uncertainties such as the detector effects occuring in LHC measurements.Comment: 16 pages, 2 figures. v3: Minor changes. NPB versio