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

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Revision as of 03:26, 7 July 2024

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