Efficient and positive semidefinite pre-averaging realized covariance estimator

DOI10.5705/SS.202017.0489zbMATH Open1475.62169OpenAlexW3037309059MaRDI QIDQ5155195FDOQ5155195

Authors: Liang-Ching Lin, Ying Chen, Guangming Pan, V. G. Spokoiny 

Publication date: 6 October 2021

Published in: STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5705/ss.202017.0489

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zbMATH Keywords

asynchronous and noisy high-frequency dataeigenvalue correctionsynchronizing technique

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Analysis of variance and covariance (ANOVA) (62J10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Title not available (Why is that?)
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Cited In (2)

• Optimal nonnegative definite approximations of estimated moving average covariance sequences
• HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES

Uses Software

• QRM

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