On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations

DOI10.1214/17-AOS1558zbMath1486.62166arXiv1604.03638MaRDI QIDQ1750277

Xinghua Zheng, Ningning Xia

Publication date: 18 May 2018

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1604.03638

zbMATH Keywords

high-dimension; microstructure noise; high-frequency; Marčenko-Pastur equation; integrated covariance matrices

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62P05: Applications of statistics to actuarial sciences and financial mathematics

60F15: Strong limit theorems

62G99: Nonparametric inference

Uses Software

• QRM