most citedOptimal covariance matrix estimation for high-dimensional noise in high-frequency data

14 citations · 21 across the 2 of their papers we have counts for

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math.ST2021★ 7 cited

Edge differentially private estimation in the -model via jittering and method of moments

Jinyuan Chang, Qiao Hu, Eric D. Kolaczyk +2

A standing challenge in data privacy is the trade-off between the level of privacy and the efficiency of statistical inference. Here we conduct an in-depth study of this trade-off…

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…