Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors (Q385765)
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scientific article; zbMATH DE number 6237597
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| English | Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors |
scientific article; zbMATH DE number 6237597 |
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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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0.765848696231842
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0.7388273477554321
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0.7318369150161743
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0.7056720852851868
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