Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes (Q1621717)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes |
scientific article |
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Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes (English)
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9 November 2018
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volatility estimation
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Lasso-type estimator
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minimax convergence rates
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nonlinear inverse problem
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oracle inequalities
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time-changed Lévy process
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