scholarly journals Minimax rates for the covariance estimation of multi-dimensional Lévy processes with high-frequency data

2020 ◽  
Vol 14 (2) ◽  
pp. 3525-3562
Author(s):  
Katerina Papagiannouli
Keyword(s):  
High Frequency ◽  
Lévy Processes ◽  
Levy Processes ◽  
Covariance Estimation ◽  
High Frequency Data ◽  
Frequency Data ◽  
Minimax Rates

The estimation for Lévy processes in high frequency data

2016 ◽  
Vol 37 (10) ◽  
pp. 1051-1066 ◽  
Author(s):  
Jing Zheng ◽  
Wentao Gu ◽  
Baolin Xu ◽  
Zongwu Cai
Keyword(s):  
High Frequency ◽  
Lévy Processes ◽  
Levy Processes ◽  
High Frequency Data ◽  
Frequency Data

Covariance estimation using high-frequency data: Sensitivities of estimation methods

2014 ◽  
Vol 43 ◽  
pp. 416-425 ◽  
Author(s):  
Erik Haugom ◽  
Gudbrand Lien ◽  
Steinar Veka ◽  
Sjur Westgaard
Keyword(s):  
High Frequency ◽  
Covariance Estimation ◽  
Estimation Methods ◽  
High Frequency Data ◽  
Frequency Data
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