368 citations
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Showing 2010 · math.STShow all
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math.ST2010★ 123 cited
Confidence bands in density estimation
Evarist Giné, Richard Nickl
Given a sample from some unknown continuous density , we construct adaptive confidence bands that are honest for all densities in a "generic" subset of t…
math.ST2010★ 143 cited
Vast volatility matrix estimation for high-frequency financial data
Yazhen Wang, Jian Zou
High-frequency data observed on the prices of financial assets are commonly modeled by diffusion processes with micro-structure noise, and realized volatility-based methods are oft…