Weighted realized variance
= Weighted realized variance
{title2=$\widehat\Lambda_n(g)$}
For observations of an <Itô integral> on a <partition of an interval>, the statistic $\sum_i g(t_{i-1})(X_{t_i}-X_{t_{i-1}})^2$ estimates $\int g(t)\sigma(t)^2\,dt$. With a deterministic noise coefficient the squared increments are <independent>, and the fluctuation has <variance> $2\sum_i g(t_{i-1})^2(\int_{t_{i-1}}^{t_i}\sigma^2)^2$.