High-dimensional estimation of quadratic variation based on penalized realized variance (Q6166018)
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scientific article; zbMATH DE number 7707699
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| English | High-dimensional estimation of quadratic variation based on penalized realized variance |
scientific article; zbMATH DE number 7707699 |
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High-dimensional estimation of quadratic variation based on penalized realized variance (English)
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6 July 2023
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Bernstein's inequality
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LASSO estimation
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low rank estimation
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quadratic variation
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rank recovery
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realized variance
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shrinkage estimator
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0.8776988
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0.8772696
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0.86930794
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