72 citations · 765 across the 35 of their papers we have counts for
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math.ST2018★ 14 cited
Optimal covariance matrix estimation for high-dimensional noise in high-frequency data
Jinyuan Chang, Qiao Hu, Cheng Liu +1
We consider high-dimensional measurement errors with high-frequency data. Our objective is on recovering the high-dimensional cross-sectional covariance matrix of the random errors…
math.ST2018★ 7 cited
A frequency domain analysis of the error distribution from noisy high-frequency data
Jinyuan Chang, Aurore Delaigle, Peter Hall +1
Data observed at high sampling frequency are typically assumed to be an additive composite of a relatively slow-varying continuous-time component, a latent stochastic process or a…