Sparse PCA-based on high-dimensional Itô processes with measurement errors (Q321930)
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scientific article; zbMATH DE number 6639132
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| English | Sparse PCA-based on high-dimensional Itô processes with measurement errors |
scientific article; zbMATH DE number 6639132 |
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Sparse PCA-based on high-dimensional Itô processes with measurement errors (English)
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14 October 2016
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integrated volatility
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Itô diffusion process
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eigenspace estimation
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convergence rates
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minimax bound
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multi-scale realized volatility
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pre-averaging realized volatility
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principal components analysis
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sparsity
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0.796899676322937
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0.7894250154495239
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0.7860078811645508
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0.7802547812461853
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