Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes
type: Item
instance of: scholarly article
title: Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes
zbMATH Open document ID: 1404.62081
DOI: 10.1214/17-AIHP849
author: D. Belomestny
author: Mathias Trabs
published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques
publication date: 2018-11-09T00:00:00Z
full work available at URL: https://arxiv.org/abs/1510.04638
full work available at URL: https://projecteuclid.org/euclid.aihp/1531296030
Mathematics Subject Classification ID: 62M05
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 62H12
Mathematics Subject Classification ID: 62M15
Mathematics Subject Classification ID: 62G20
zbMATH DE Number: 6976086
zbMATH Keywords: volatility estimation
zbMATH Keywords: Lasso-type estimator
zbMATH Keywords: minimax convergence rates
zbMATH Keywords: nonlinear inverse problem
zbMATH Keywords: oracle inequalities
zbMATH Keywords: time-changed Lévy process
MaRDI profile type: MaRDI publication profile
arXiv ID: 1510.04638
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description: scientific article