On the estimation of integrated covariance matrices of high dimensional diffusion processes

DOI10.1214/11-AOS939zbMath1246.62182arXiv1005.1862MaRDI QIDQ449988

Xinghua Zheng, Ying-Ying Li

Publication date: 3 September 2012

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

Full work available at URL: https://arxiv.org/abs/1005.1862

zbMATH Keywords

high frequency; Marčenko-Pastur equation; realized covariance matrix; weighted sample covariance matrix

Mathematics Subject Classification ID

62H12: Estimation in multivariate analysis

62E20: Asymptotic distribution theory in statistics

62G30: Order statistics; empirical distribution functions

62M05: Markov processes: estimation; hidden Markov models