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Academy of Mathematics and Systems Science, CAS Colloquia & Seminars：Estimation of Common Factors for Microstructure Noise and Effcient Price in a High-frequency Dual Factor Model
高频双因子模型 微结构 噪声公因数 效率价格 估计
2023/3/20
We develop the Double Principal Component Analysis (DPCA) based on a dual factor structure for high-frequency intraday returns contaminated by microstructure noise. The dual factor structure allows a ...
A ROBUSTNESS ANALYSIS OF THE MUSIC AND THE MINIMUM-NORM ALGORITHMS WITH RESPECT TO CORRELMED NOISE
2007/8/7
A robustness analysis of the MUSIC and the MiniNorm algorithms with respect to spatially correlated noise in array processing is presented in this paper. Let the covariance matrix of correlated noise ...
Stochastic adaptive control is considered for the discrete-time multi-input and multi-output system of multi-delay with noise expressed by an ARMA process. The CARIMA model is a special case of the sy...