Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes
DOI10.1214/17-AIHP849zbMath1404.62081arXiv1510.04638MaRDI QIDQ1621717
Denis Belomestny, Mathias Trabs
Publication date: 9 November 2018
Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1510.04638
minimax convergence ratesoracle inequalitiestime-changed Lévy processnonlinear inverse problemvolatility estimationLasso-type estimator
Processes with independent increments; Lévy processes (60G51) Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20) Inference from stochastic processes and spectral analysis (62M15) Markov processes: estimation; hidden Markov models (62M05)
Related Items (5)
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