no code implementations • 4 Mar 2021 • Kim Christensen, Mikkel Slot Nielsen, Mark Podolskij
We show that under a nuclear norm penalization, the PRV is computed by soft-thresholding the eigenvalues of realized variance (RV).
no code implementations • 4 Aug 2020 • Andreas Basse-O'Connor, Vytautė Pilipauskaitė, Mark Podolskij
This paper presents new limit theorems for power variation of fractional type symmetric infinitely divisible random fields.
Probability