6 papers
Limiting Spectral Distribution of High-dimensional Hayashi-Yoshida Estimator of Integrated Covariance Matrix
Arnab Chakrabarti, Rituparna Sen
In this paper, the estimation of the Integrated Covariance matrix from high-frequency data, for high dimensional stock price process, is considered. The Hayashi-Yoshida covolatilit…
Nonadiabatic control of quantum transport fidelity in dissipative cold media
Arnab Chakrabarti, Igor Mazets, Tian-Niu Xu +2
We put forth a hitherto unexplored control strategy that enables finite-speed, high-fidelity transport of a quantum wavepacket through a low-temperature dissipative medium. The con…
Sparsistent filtering of comovement networks from high-dimensional data
Arnab Chakrabarti, Anindya S. Chakrabarti
Network filtering is an important form of dimension reduction to isolate the core constituents of large and interconnected complex systems. We introduce a new technique to filter l…
Copula estimation for nonsynchronous financial data
Arnab Chakrabarti, Rituparna Sen
Copula is a powerful tool to model multivariate data. We propose the modelling of intraday financial returns of multiple assets through copula. The problem originates due to the as…
Some Statistical Problems with High Dimensional Financial data
Arnab Chakrabarti, Rituparna Sen
For high dimensional data, some of the standard statistical techniques do not work well. So modification or further development of statistical methods are necessary. In this paper,…
Bloch-Siegert Shift and its Kramers-Kronig Pair
Arnab Chakrabarti, Rangeet Bhattacharyya
We report that the Bloch-Siegert shift which appears in Nuclear Magnetic Resonance (NMR) spectroscopy can also be shown to originate as a part of a complex drive-induced second-ord…