Optimal covariance matrix estimation for high-dimensional noise in high-frequency data

DOI10.1016/j.jeconom.2022.06.010arXiv1812.08217OpenAlexW2905181569WikidataQ114161718 ScholiaQ114161718MaRDI QIDQ6150511

Qiao Hu, Cheng Liu, Cheng Yong Tang, Jinyuan Chang

Publication date: 6 March 2024

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1812.08217

zbMATH Keywords

thresholdingmeasurement errorminimax optimalityhigh-dimensional covariance matrixhigh-frequency data analysis

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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