Principal Component Analysis of High-Frequency Data (Q5229911)

scientific article; zbMATH DE number 7095877

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English	Principal Component Analysis of High-Frequency Data	scientific article; zbMATH DE number 7095877

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instance of

scholarly article

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title

Principal Component Analysis of High-Frequency Data (English)

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Journal of the American Statistical Association

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publication date

19 August 2019

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zbMATH Keywords

eigenvalue

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eigenvector

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high frequency

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Itô semimartingale

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principal components

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spectral function

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describes a project that uses

ElemStatLearn

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/01621459.2017.1401542

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cites work

High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data

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Using principal component analysis to estimate a high dimensional factor model with high-frequency data

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High-dimensional analysis of semidefinite relaxations for sparse principal components

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Asymptotic Theory for Principal Component Analysis

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Inferential Theory for Factor Models of Large Dimensions

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Determining the Number of Factors in Approximate Factor Models

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Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

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Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data

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Long memory continuous time models

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Long memory in continuous-time stochastic volatility models

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A Direct Formulation for Sparse PCA Using Semidefinite Programming

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A general version of the fundamental theorem of asset pricing

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On Wielandt's inequality and its application to the asymptotic distribution of the eigenvalues of a random symmetric matrix

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Common risk factors in the returns on stocks and bonds

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The generalized dynamic factor model consistency and rates

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Dynamic factor models with infinite-dimensional factor spaces: one-sided representations

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Dynamic factor models with infinite-dimensional factor space: asymptotic analysis

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Q4807277

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Convex spectral functions

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The biplot graphic display of matrices with application to principal component analysis

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A test for the rank of the volatility process: the random perturbation approach

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Discretization of processes.

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Quarticity and other functionals of volatility: efficient estimation

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On the distribution of the largest eigenvalue in principal components analysis

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On Consistency and Sparsity for Principal Components Analysis in High Dimensions

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Principal component analysis.

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Testing for instability in covariance structures

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A Testing Procedure for Determining the Number of Factors in Approximate Factor Models With Large Datasets

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Adaptive estimation of continuous-time regression models using high-frequency data

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Inference theory for volatility functional dependencies

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Generalized Method of Integrated Moments for High-Frequency Data

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Q4231779

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Inference for Continuous Semimartingales Observed at High Frequency

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Distinctness of the eigenvalues of a quadratic form in a multivariate sample

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Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data

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Econometric analysis of multivariate realised QML: estimation of the covariation of equity prices under asynchronous trading

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Forecasting Using Principal Components From a Large Number of Predictors

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Q5388761

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Asymptotic inference for eigenvectors

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Asymptotics of empirical eigenstructure for high dimensional spiked covariance

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Asymptotic distribution of the sample roots for a nonnormal population

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ASYMPTOTIC THEORY FOR SPECTRAL DENSITY ESTIMATES OF GENERAL MULTIVARIATE TIME SERIES

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On the estimation of integrated covariance matrices of high dimensional diffusion processes

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Identifiers

zbMATH Open document ID

1478.62150

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DOI

10.1080/01621459.2017.1401542

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5229911