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High-dimensional index volatility models via Stein's identity (Q2040038)

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Language	Label	Description	Also known as
English	High-dimensional index volatility models via Stein's identity	scientific article

Statements

scholarly article

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High-dimensional index volatility models via Stein's identity (English)

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publication date

9 July 2021

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full work available at URL

https://arxiv.org/abs/1811.10790

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zbMATH Keywords

high-dimensional estimation

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index volatility model

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Stein's identity

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describes a project that uses

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MaRDI profile type

MaRDI publication profile

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One-bit compressed sensing with non-Gaussian measurements

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Cross-validated estimations in the single-functional index model

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Slice inverse regression with score functions

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Breaking the Curse of Dimensionality with Convex Neural Networks

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Using residuals robustly I: Tests for heteroscedasticity, nonlinearity

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Correcting Inhomogeneity of Variance with Power Transformation Weighting

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An Analysis for Unreplicated Fractional Factorials

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Phase Retrieval via Matrix Completion

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Phase Retrieval via Wirtinger Flow: Theory and Algorithms

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Generalized Partially Linear Single-Index Models

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Normal Approximation by Stein’s Method

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Quasi-Likelihood Regression with Multiple Indices and Smooth Link and Variance Functions

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1-Bit matrix completion

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Variance Function Estimation

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A practical guide to splines.

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On semiparametric \(M\)-estimation in single-index regression

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Local linear regression smoothers and their minimax efficiencies

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Variance function additive partial linear models

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Optimal rates and adaptation in the single-index model using aggregation

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A distribution-free theory of nonparametric regression

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UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA

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Optimal smoothing in single-index models

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Direct Semiparametric Estimation of Single-Index Models with Discrete Covariates

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Direct estimation of the index coefficient in a single-index model

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Semiparametric least squares (SLS) and weighted SLS estimation of single-index models

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Spike and slab variable selection: frequentist and Bayesian strategies

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Needles and straw in haystacks: Empirical Bayes estimates of possibly sparse sequences

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Adaptive estimation under single-index constraint in a regression model

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Sliced Inverse Regression for Dimension Reduction

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Functional partial linear model

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Variance Function Partially Linear Single-Index Models

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On the optimality of sliced inverse regression in high dimensions

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On consistency and sparsity for sliced inverse regression in high dimensions

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Sparse Sliced Inverse Regression Via Lasso

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Varying Index Coefficient Models

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Sub-Gaussian estimators of the mean of a random matrix with heavy-tailed entries

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Bayesian Variable Selection in Linear Regression

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Support union recovery in high-dimensional multivariate regression

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The Generalized Lasso With Non-Linear Observations

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An exploration of aspects of Bayesian multiple testing

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Estimation of the mean of a multivariate normal distribution

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Introduction to nonparametric estimation

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Semiparametric modeling and estimation of heteroscedasticity in regression analysis of cross-sectional data

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Minimax sparse principal subspace estimation in high dimensions

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Estimation for a partial-linear single-index model

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Varying-coefficient single-index model

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ASYMPTOTIC DISTRIBUTIONS FOR TWO ESTIMATORS OF THE SINGLE-INDEX MODEL

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An Adaptive Estimation of Dimension Reduction Space

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Robust PCA via Outlier Pursuit

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Empirical likelihood for single-index varying-coefficient models

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Quasi-likelihood estimation of the single index conditional variance model

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Empirical Likelihood Confidence Regions in a Partially Linear Single-Index Model

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Nonconcave penalized inverse regression in single-index models with high dimensional predic\-tors

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Identifiers

zbMATH Open document ID

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10.3150/20-BEJ1238

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2040038

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