Sparse PCA-based on high-dimensional Itô processes with measurement errors (Q321930): Difference between revisions
From MaRDI portal
Normalize DOI. |
Normalize DOI. |
||
| Property / DOI | |||
| Property / DOI: 10.1016/J.JMVA.2016.08.006 / rank | |||
| Property / DOI | |||
| Property / DOI: 10.1016/J.JMVA.2016.08.006 / rank | |||
Normal rank | |||
Revision as of 23:54, 8 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sparse PCA-based on high-dimensional Itô processes with measurement errors |
scientific article |
Statements
Sparse PCA-based on high-dimensional Itô processes with measurement errors (English)
0 references
14 October 2016
0 references
integrated volatility
0 references
Itô diffusion process
0 references
eigenspace estimation
0 references
convergence rates
0 references
minimax bound
0 references
multi-scale realized volatility
0 references
pre-averaging realized volatility
0 references
principal components analysis
0 references
sparsity
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
