Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model (Q4559707)
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scientific article; zbMATH DE number 6988497
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model |
scientific article; zbMATH DE number 6988497 |
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Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model (English)
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4 December 2018
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concentration inequality
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huber loss
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low-rank matrix
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pre-averaging
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sparsity
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