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

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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…