63 citations · 63 across the 2 of their papers we have counts for
2 papers
math.ST2013★ 63 cited
Estimation of the lead-lag parameter from non-synchronous data
M. Hoffmann, M. Rosenbaum, N. Yoshida
We propose a simple continuous time model for modeling the lead-lag effect between two financial assets. A two-dimensional process reproduces a lead-lag effect if, for…
math.ST2012
Blockwise SVD with error in the operator and application to blind deconvolution
S. Delattre, M. Hoffmann, D. Picard +1
We consider linear inverse problems in a nonparametric statistical framework. Both the signal and the operator are unknown and subject to error measurements. We establish minimax r…