Optimal covariance matrix estimation for high-dimensional noise in high-frequency data
Jinyuan Chang, Qiao Hu, Cheng Liu, Cheng Yong Tang
| Year of publication: |
2024
|
|---|---|
| Authors: | Chang, Jinyuan ; Hu, Qiao ; Liu, Cheng ; Tang, Cheng Yong |
| Subject: | Measurement error | High-dimensional covariance matrix | High-frequency data analysis | Minimax optimality | Thresholding | Korrelation | Correlation | Schätztheorie | Estimation theory | Statistischer Fehler | Statistical error | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Varianzanalyse | Analysis of variance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2022.06.010 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10015074488