71 citations
- Centre de Recherche en Économie et StatistiqueFR11 papers
- Centre for Research in Engineering Surface TechnologyIE9 papers
- Center for Responsible TravelUS8 papers
- Centre National de la Recherche ScientifiqueFR2 papers
- Laboratoire Jean-Alexandre DieudonnéFR2 papers
- Sorbonne UniversitéFR2 papers
- UCLouvainBE2 papers
- University of CambridgeGB2 papers
- Bocconi UniversityIT1 paper
- Centre Inria de l'université de BordeauxFR1 paper
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- Columbia UniversityUS1 paper
Showing 2013Show all
2 papers · 1 filter
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…