Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors (Q385765): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Changed an Item
Set OpenAlex properties.
 
(One intermediate revision by one other user not shown)
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: Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading / rank
 
Normal rank
Property / cites work
 
Property / cites work: Spectral Estimation of Covolatility from Noisy Observations Using Local Weights / rank
 
Normal rank
Property / cites work
 
Property / cites work: Regularized estimation of large covariance matrices / rank
 
Normal rank
Property / cites work
 
Property / cites work: Covariance regularization by thresholding / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal rates of convergence for covariance matrix estimation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal rates of convergence for sparse covariance matrix estimation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Large time and small noise asymptotic results for mean reverting diffusion processes with applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Discrete sine transform for multi-scale realized volatility measures / rank
 
Normal rank
Property / cites work
 
Property / cites work: Operator norm consistent estimation of large-dimensional sparse covariance matrices / rank
 
Normal rank
Property / cites work
 
Property / cites work: High dimensional covariance matrix estimation using a factor model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection / rank
 
Normal rank
Property / cites work
 
Property / cites work: Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Diffusions with measurement errors. I. Local Asymptotic Normality / rank
 
Normal rank
Property / cites work
 
Property / cites work: Diffusions with measurement errors. II. Optimal estimators / rank
 
Normal rank
Property / cites work
 
Property / cites work: Covariance matrix selection and estimation via penalised normal likelihood / rank
 
Normal rank
Property / cites work
 
Property / cites work: Microstructure noise in the continuous case: the pre-averaging approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: On Consistency and Sparsity for Principal Components Analysis in High Dimensions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4002114 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Sparsistency and rates of convergence in large covariance matrix estimation / rank
 
Normal rank
Property / cites work
 
Property / cites work: A well-conditioned estimator for large-dimensional covariance matrices / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic equivalence for inference on the volatility from noisy observations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Positive integer powers of the tridiagonal Toeplitz matrices / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4002143 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Large Volatility Matrix Inference via Combining Low-Frequency and High-Frequency Approaches / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5791768 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Vast volatility matrix estimation for high-frequency financial data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimating degradation by a Wiener diffusion process subject to measurement error / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4039860 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Nonparametric estimation of large covariance matrices of longitudinal data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Quasi-maximum likelihood estimation of volatility with high frequency data / rank
 
Normal rank
Property / cites work
 
Property / cites work: Model selection and estimation in the Gaussian graphical model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Estimating covariation: Epps effect, microstructure noise / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Tale of Two Time Scales / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the estimation of integrated covariance matrices of high dimensional diffusion processes / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2141589661 / rank
 
Normal rank

Latest revision as of 09:45, 30 July 2024

scientific article
Language Label Description Also known as
English
Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors
scientific article

    Statements

    Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors (English)
    0 references
    0 references
    0 references
    0 references
    11 December 2013
    0 references
    large matrix estimation
    0 references
    measurement error
    0 references
    minimax lower bound
    0 references
    multi-scale
    0 references
    optimal convergence rate
    0 references
    sparsity
    0 references
    subGaussian tail
    0 references
    threshold
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references