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09/21/2022
Efficient Integrated Volatility Estimation in the Presence of Infinite Variation Jumps via Debiased Truncated Realized Variations
Statistical inference for stochastic processes based on high-frequency o...
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07/18/2022
Change point detection in high dimensional data with U-statistics
We consider the problem of detecting distributional changes in a sequenc...
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08/09/2021
Wavelet eigenvalue regression in high dimensions
In this paper, we construct the wavelet eigenvalue regression methodolog...
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02/10/2021
On high-dimensional wavelet eigenanalysis
In this paper, we mathematically construct wavelet eigenanalysis in high...
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08/15/2018