Sparse PCA-based on high-dimensional Itô processes with measurement errors

DOI10.1016/j.jmva.2016.08.006zbMath1350.60029OpenAlexW2511812870MaRDI QIDQ321930

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

zbMATH Keywords

convergence ratessparsityprincipal components analysisintegrated volatilityeigenspace estimationItô diffusion processminimax boundmulti-scale realized volatilitypre-averaging realized volatility

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Strong limit theorems (60F15) Diffusion processes (60J60) Stochastic integrals (60H05)

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