Sparse PCA-based on high-dimensional Itô processes with measurement errors (Q321930): Difference between revisions

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Latest revision as of 14:20, 9 December 2024

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Sparse PCA-based on high-dimensional Itô processes with measurement errors
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    Sparse PCA-based on high-dimensional Itô processes with measurement errors (English)
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    14 October 2016
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    integrated volatility
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    Itô diffusion process
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    eigenspace estimation
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    convergence rates
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    minimax bound
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    multi-scale realized volatility
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    pre-averaging realized volatility
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    principal components analysis
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    sparsity
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