Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes (Q1621717)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes |
scientific article |
Statements
Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes (English)
0 references
9 November 2018
0 references
volatility estimation
0 references
Lasso-type estimator
0 references
minimax convergence rates
0 references
nonlinear inverse problem
0 references
oracle inequalities
0 references
time-changed Lévy process
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
