Sparse Kalman filtering approaches to realized covariance estimation from high frequency financial data (Q2425171): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sparse Kalman filtering approaches to realized covariance estimation from high frequency financial data |
scientific article |
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Sparse Kalman filtering approaches to realized covariance estimation from high frequency financial data (English)
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26 June 2019
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spike and slab
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ECM
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Kalman filtering
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\(\ell _{1}\) regularization
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