71 citations
- Centre de Recherche en Économie et StatistiqueFR11 papers
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Showing 2013 · math.STShow all
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math.ST2013★ 3 cited
Pivotal estimation in high-dimensional regression via linear programming
Eric Gautier, Alexandre Tsybakov
We propose a new method of estimation in high-dimensional linear regression model. It allows for very weak distributional assumptions including heteroscedasticity, and does not req…
math.ST2013★ 63 cited
Estimation of the lead-lag parameter from non-synchronous data
M. Hoffmann, M. Rosenbaum, N. Yoshida
We propose a simple continuous time model for modeling the lead-lag effect between two financial assets. A two-dimensional process reproduces a lead-lag effect if, for…