Sparse PCA-based on high-dimensional Itô processes with measurement errors
DOI10.1016/J.JMVA.2016.08.006zbMATH Open1350.60029OpenAlexW2511812870MaRDI QIDQ321930FDOQ321930
Authors: Donggyu Kim, Yazhen Wang 
Publication date: 14 October 2016
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2016.08.006
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sparsityprincipal components analysisconvergence ratesintegrated volatilityeigenspace estimationminimax boundmulti-scale realized volatilitypre-averaging realized volatilityItô diffusion process
Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Diffusion processes (60J60) Strong limit theorems (60F15) Stochastic integrals (60H05)
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Cited In (11)
- Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
- Structured volatility matrix estimation for non-synchronized high-frequency financial data
- Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data
- High-dimensional volatility matrix estimation with cross-sectional dependent and heavy-tailed microstructural noise
- The five trolls under the bridge: principal component analysis with asynchronous and noisy high frequency data
- Volatility models for stylized facts of high‐frequency financial data
- Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors
- Optimal sparse eigenspace and low-rank density matrix estimation for quantum systems
- A 50-year personal journey through time with principal component analysis
- Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis
- Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model
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