Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors (Q385765): Difference between revisions
From MaRDI portal
Removed claims |
Set profile property. |
||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank |
Revision as of 01:07, 5 March 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
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