Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors

DOI10.1214/13-AOS1128zbMath1281.62178arXiv1309.4889OpenAlexW2141589661MaRDI QIDQ385765

Minjing Tao, Harrison H. Zhou, Yazhen Wang

Publication date: 11 December 2013

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

Full work available at URL: https://arxiv.org/abs/1309.4889

zbMATH Keywords

minimax lower boundmeasurement errorthresholdoptimal convergence ratesparsitymulti-scalelarge matrix estimationsubGaussian tail

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Minimax procedures in statistical decision theory (62C20) Markov processes: estimation; hidden Markov models (62M05)

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