A Lepskiĭ-type stopping rule for the covariance estimation of multi-dimensional Lévy processes (Q2676877): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
Import241208061232 (talk | contribs)
Normalize DOI.
 
(2 intermediate revisions by 2 users not shown)
Property / DOI
 
Property / DOI: 10.1007/s11203-021-09264-2 / rank
Normal rank
 
Property / OpenAlex ID
 
Property / OpenAlex ID: W4205142345 / rank
 
Normal rank
Property / cites work
 
Property / cites work: High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency / rank
 
Normal rank
Property / cites work
 
Property / cites work: An alternative point of view on Lepski's method / rank
 
Normal rank
Property / cites work
 
Property / cites work: Nonparametric adaptive estimation for pure jump Lévy processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Data-Driven Density Estimation in the Presence of Additive Noise with unknown Distribution / rank
 
Normal rank
Property / cites work
 
Property / cites work: Financial Modelling with Jump Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3667689 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Adaptive quantile estimation in deconvolution with unknown error distribution / rank
 
Normal rank
Property / cites work
 
Property / cites work: Adaptive kernel methods using the balancing principle / rank
 
Normal rank
Property / cites work
 
Property / cites work: Uniform Central Limit Theorems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Adaptive estimates of linear functionals / rank
 
Normal rank
Property / cites work
 
Property / cites work: A remark on the rates of convergence for integrated volatility estimation in the presence of jumps / rank
 
Normal rank
Property / cites work
 
Property / cites work: On a Problem of Adaptive Estimation in Gaussian White Noise / rank
 
Normal rank
Property / cites work
 
Property / cites work: Truncated realized covariance when prices have infinite variation jumps / rank
 
Normal rank
Property / cites work
 
Property / cites work: Concentration inequalities and model selection. Ecole d'Eté de Probabilités de Saint-Flour XXXIII -- 2003. / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the effect of estimating the error density in nonparametric deconvolution / rank
 
Normal rank
Property / cites work
 
Property / cites work: Nonparametric estimation for Lévy processes from low-frequency observations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Minimax rates for the covariance estimation of multi-dimensional Lévy processes with high-frequency data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4937701 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic Statistics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Weak Convergence of the Empirical Characteristic Function / rank
 
Normal rank
Property / DOI
 
Property / DOI: 10.1007/S11203-021-09264-2 / rank
 
Normal rank

Latest revision as of 16:55, 19 December 2024

scientific article
Language Label Description Also known as
English
A Lepskiĭ-type stopping rule for the covariance estimation of multi-dimensional Lévy processes
scientific article

    Statements

    A Lepskiĭ-type stopping rule for the covariance estimation of multi-dimensional Lévy processes (English)
    0 references
    28 September 2022
    0 references
    multi-dimensional Lévy processes
    0 references
    adaptive estimation
    0 references
    Lepskitype rule
    0 references
    balancing principle
    0 references
    statistical inference covariance
    0 references
    0 references
    0 references
    0 references

    Identifiers