output
19992026
most citedSparsistency and rates of convergence in large covariance matrix estimation

421 citations

researchers with a paper here

Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

collaborating institutions
Showing 2017 · math.PRShow all

2 papers · 2 filters

math.PR2017★ 1 cited

Stochastic Exponentials and Logarithms on Stochastic Intervals -- A Survey

Martin Larsson, Johannes Ruf

Stochastic exponentials are defined for semimartingales on stochastic intervals, and stochastic logarithms are defined for semimartingales, up to the first time the semimartingale…

math.PR2017★ 2 cited

Local martingales in discrete time

Vilmos Prokaj, Johannes Ruf

For any discrete-time --local martingale there exists a probability measure such that is a --martingale. A new proof for this result is provided. The core…