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

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

19 December 2018
Jinyuan Chang
Qiao Hu
Cheng Liu
C. Tang
ArXivPDFHTML

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

1 / 1 papers shown
Title
Modelling matrix time series via a tensor CP-decomposition
Modelling matrix time series via a tensor CP-decomposition
Jinyuan Chang
Jingjing He
Lin Yang
Q. Yao
AI4TS
23
29
0
31 Dec 2021
1