Robust estimation of a high-dimensional integrated covariance matrix

DOI10.1080/03610918.2014.991038zbMath1422.62311OpenAlexW3122464306MaRDI QIDQ2974915

Shuichi Nagata, Takayuki Morimoto

Publication date: 11 April 2017

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2014.991038

zbMATH Keywords

high-frequency datamarket microstructure noiseTracy-Widom lawrealized covariancehigh-dimensional matrix

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Unnamed Item
• A note on universality of the distribution of the largest eigenvalues in certain sample covariance matrices
• On covariance estimation of non-synchronously observed diffusion processes
• On the distribution of the largest eigenvalue in principal components analysis
• Tracy-Widom limit for the largest eigenvalue of a large class of complex sample covariance matrices
• RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
• Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics

This page was built for publication: Robust estimation of a high-dimensional integrated covariance matrix