ESTIMATION OF A HIGH-DIMENSIONAL COUNTING PROCESS WITHOUT PENALTY FOR HIGH-FREQUENCY EVENTS

DOI10.1017/s0266466622000238OpenAlexW4282824108MaRDI QIDQ6078283

Unnamed Author, Alessio Sancetta

Publication date: 24 October 2023

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466622000238

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Non-negative least squares for high-dimensional linear models: consistency and sparse recovery without regularization
• Asymptotically mean stationary measures
• Linear processes in function spaces. Theory and applications
• High-dimensional additive hazards models and the lasso
• On the conditions used to prove oracle results for the Lasso
• Sign-constrained least squares estimation for high-dimensional regression
• Stability of nonlinear Hawkes processes
• Learning the Intensity of Time Events With Change-Points
• Probability, Random Processes, and Ergodic Properties
• Modelling Financial High Frequency Data Using Point Processes
• Continuous Auctions and Insider Trading
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Modelling high-frequency limit order book dynamics with support vector machines
• ESTIMATION FOR THE PREDICTION OF POINT PROCESSES WITH MANY COVARIATES
• State-dependent Hawkes processes and their application to limit order book modelling
• MODEL SELECTION AND INFERENCE: FACTS AND FICTION
• Unnamed Item
• Unnamed Item
• Unnamed Item