High-dimensional estimation of quadratic variation based on penalized realized variance

DOI10.1007/s11203-022-09282-8arXiv2103.03237OpenAlexW4311508939MaRDI QIDQ6166018

Kim Christensen, Mikkel Slot Nielsen, Mark Podolskij

Publication date: 6 July 2023

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2103.03237

zbMATH Keywords

shrinkage estimator quadratic variation realized variance Bernstein's inequality low rank estimation rank recovery LASSO estimation

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx)

Related Items (1)

Inference on the maximal rank of time-varying covariance matrices using high-frequency data

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