Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors (Q385765): Difference between revisions
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| Property / author: Yazhen Wang / rank | |||
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| Property / author: Harrison H. Zhou / rank | |||
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| Property / Mathematics Subject Classification ID: 62M05 / rank | |||
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| Property / Mathematics Subject Classification ID: 62H12 / rank | |||
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| Property / Mathematics Subject Classification ID: 62G05 / rank | |||
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| Property / Mathematics Subject Classification ID: 65C60 / rank | |||
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| Property / Mathematics Subject Classification ID: 62P05 / rank | |||
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| Property / zbMATH DE Number: 6237597 / rank | |||
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large matrix estimation | |||
| Property / zbMATH Keywords: large matrix estimation / rank | |||
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measurement error | |||
| Property / zbMATH Keywords: measurement error / rank | |||
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minimax lower bound | |||
| Property / zbMATH Keywords: minimax lower bound / rank | |||
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multi-scale | |||
| Property / zbMATH Keywords: multi-scale / rank | |||
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optimal convergence rate | |||
| Property / zbMATH Keywords: optimal convergence rate / rank | |||
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sparsity | |||
| Property / zbMATH Keywords: sparsity / rank | |||
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subGaussian tail | |||
| Property / zbMATH Keywords: subGaussian tail / rank | |||
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threshold | |||
| Property / zbMATH Keywords: threshold / rank | |||
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Revision as of 13:49, 29 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors |
scientific article |
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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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