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

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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…