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

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+High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
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+Increased correlation among asset classes: are volatility or jumps to blame, or both?
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+Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
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+An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: asymptotic distribution theory
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+Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency
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+Covariance regularization by thresholding
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+Minimax bounds for sparse PCA with noisy high-dimensional data
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+Adaptive Thresholding for Sparse Covariance Matrix Estimation
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+Sparse PCA: optimal rates and adaptive estimation
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+Optimal rates of convergence for sparse covariance matrix estimation
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+Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
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+Large Covariance Estimation by Thresholding Principal Orthogonal Complements
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+Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
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+On covariance estimation of non-synchronously observed diffusion processes
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+Microstructure noise in the continuous case: the pre-averaging approach
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+On Consistency and Sparsity for Principal Components Analysis in High Dimensions
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+Asymptotic theory for large volatility matrix estimation based on high-frequency financial data
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+Sparsistency and agnostic inference in sparse PCA
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+Sparse principal component analysis and iterative thresholding
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+Finite sample approximation results for principal component analysis: A matrix perturbation approach
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+Q5449216
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+Minimax Rates of Estimation for High-Dimensional Linear Regression Over $\ell_q$-Balls
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+Consistency of sparse PCA in high dimension, low sample size contexts
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+FAST CONVERGENCE RATES IN ESTIMATING LARGE VOLATILITY MATRICES USING HIGH-FREQUENCY FINANCIAL DATA
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+Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors
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+Minimax sparse principal subspace estimation in high dimensions
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+Vast volatility matrix estimation for high-frequency financial data
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+Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
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+Estimating covariation: Epps effect, microstructure noise
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+On the estimation of integrated covariance matrices of high dimensional diffusion processes
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