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20192025
most citedOnline Graph-Based Change-Point Detection for High Dimensional Data

2 citations · 2 across the 5 of their papers we have counts for

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math.ST2020

A Lepskiĭ-type stopping rule for the covariance estimation of multi-dimensional Lévy processes

Katerina Papagiannouli

We suppose that a Lévy process is observed at discrete time points. Starting from an asymptotically minimax family of estimators for the continuous part of the Lévy Khinchine chara…

math.ST2019

Minimax rates for the covariance estimation of multi-dimensional Lévy processes with high-frequency data

Katerina Papagiannouli

This article studies nonparametric methods to estimate the co-integrated volatility for multi-dimensional Lévy processes with high frequency data. We construct a spectral estimator…