Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors

Published 2013 View Full Article

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Title
Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors
Authors
Keywords
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Journal
ANNALS OF STATISTICS
Volume 41, Issue 4, Pages 1816-1864
Publisher
Institute of Mathematical Statistics
Online
2013-09-05
DOI
10.1214/13-aos1128

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