Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors (Q385765)

From MaRDI portal
scientific article
Language Label Description Also known as
English
Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors
scientific article

    Statements

    Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors (English)
    0 references
    0 references
    0 references
    0 references
    11 December 2013
    0 references
    large matrix estimation
    0 references
    measurement error
    0 references
    minimax lower bound
    0 references
    multi-scale
    0 references
    optimal convergence rate
    0 references
    sparsity
    0 references
    subGaussian tail
    0 references
    threshold
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references