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math.ST2023
Spectral norm bounds for high-dimensional realized covariance matrices and application to weak factor models
Yuta Koike
Motivated by statistical analysis of latent factor models for high-frequency financial data, we develop sharp upper bounds for the spectral norm of the realized covariance matrix o…
math.PR2023
High-dimensional Central Limit Theorems by Stein's Method in the Degenerate Case
Xiao Fang, Yuta Koike, Song-Hao Liu +1
In the literature of high-dimensional central limit theorems, there is a gap between results for general limiting correlation matrix and the strongly non-degenerate case. For t…