Minimax rates for the covariance estimation of multi-dimensional Lévy processes with high-frequency data
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Publication:2209820
DOI10.1214/20-EJS1753zbMath1456.60116arXiv1903.06585OpenAlexW3091669598MaRDI QIDQ2209820
Publication date: 5 November 2020
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1903.06585
Processes with independent increments; Lévy processes (60G51) Nonparametric hypothesis testing (62G10) Nonparametric estimation (62G05) Minimax procedures in statistical decision theory (62C20) Jump processes on general state spaces (60J76)
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