Optimal covariance matrix estimation for high-dimensional noise in high-frequency data (Q6150511)
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scientific article; zbMATH DE number 7813999
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal covariance matrix estimation for high-dimensional noise in high-frequency data |
scientific article; zbMATH DE number 7813999 |
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Optimal covariance matrix estimation for high-dimensional noise in high-frequency data (English)
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6 March 2024
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high-dimensional covariance matrix
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high-frequency data analysis
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measurement error
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minimax optimality
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thresholding
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