On the estimation of integrated covariance matrices of high dimensional diffusion processes
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Publication:449988
DOI10.1214/11-AOS939zbMath1246.62182arXiv1005.1862OpenAlexW3124675697MaRDI QIDQ449988
Publication date: 3 September 2012
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1005.1862
Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20) Order statistics; empirical distribution functions (62G30) Markov processes: estimation; hidden Markov models (62M05)
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