{"id":"https://openalex.org/W2258059040","doi":"https://doi.org/10.1007/s10107-019-01371-6","title":"Sparse Kalman filtering approaches to realized covariance estimation from high frequency financial data","display_name":"Sparse Kalman filtering approaches to realized covariance estimation from high frequency financial data","publication_year":2019,"publication_date":"2019-02-14","ids":{"openalex":"https://openalex.org/W2258059040","doi":"https://doi.org/10.1007/s10107-019-01371-6","mag":"2258059040"},"language":"en","primary_location":{"id":"doi:10.1007/s10107-019-01371-6","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10107-019-01371-6","pdf_url":null,"source":{"id":"https://openalex.org/S193920097","display_name":"Mathematical Programming","issn_l":"0025-5610","issn":["0025-5610","1436-4646"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Mathematical Programming","raw_type":"journal-article"},"type":"article","indexed_in":["arxiv","crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/1602.02185","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":null,"display_name":"Michael Ho","orcid":null},"institutions":[{"id":"https://openalex.org/I204250578","display_name":"University of California, Irvine","ror":"https://ror.org/04gyf1771","country_code":"US","type":"education","lineage":["https://openalex.org/I204250578"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Michael Ho","raw_affiliation_strings":["Department of Mathematics, University of California at Irvine, Irvine, CA, 92697, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics, University of California at Irvine, Irvine, CA, 92697, USA","institution_ids":["https://openalex.org/I204250578"]}]},{"author_position":"last","author":{"id":null,"display_name":"Jack Xin","orcid":null},"institutions":[{"id":"https://openalex.org/I204250578","display_name":"University of California, Irvine","ror":"https://ror.org/04gyf1771","country_code":"US","type":"education","lineage":["https://openalex.org/I204250578"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Jack Xin","raw_affiliation_strings":["Department of Mathematics, University of California at Irvine, Irvine, CA, 92697, USA"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics, University of California at Irvine, Irvine, CA, 92697, USA","institution_ids":["https://openalex.org/I204250578"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I204250578"],"apc_list":{"value":2890,"currency":"USD","value_usd":2890},"apc_paid":null,"fwci":0.8834,"has_fulltext":false,"cited_by_count":4,"citation_normalized_percentile":{"value":0.82858303,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":95},"biblio":{"volume":"176","issue":"1-2","first_page":"247","last_page":"278"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.31769999861717224,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":0.31769999861717224,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T13487","display_name":"Statistical and numerical algorithms","score":0.12129999697208405,"subfield":{"id":"https://openalex.org/subfields/2604","display_name":"Applied Mathematics"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.07129999995231628,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/covariance","display_name":"Covariance","score":0.6866000294685364},{"id":"https://openalex.org/keywords/kalman-filter","display_name":"Kalman filter","score":0.5845000147819519},{"id":"https://openalex.org/keywords/covariance-matrix","display_name":"Covariance matrix","score":0.5349000096321106},{"id":"https://openalex.org/keywords/covariance-intersection","display_name":"Covariance intersection","score":0.5126000046730042},{"id":"https://openalex.org/keywords/covariance-function","display_name":"Covariance function","score":0.477400004863739},{"id":"https://openalex.org/keywords/estimation-of-covariance-matrices","display_name":"Estimation of covariance matrices","score":0.42010000348091125},{"id":"https://openalex.org/keywords/noise","display_name":"Noise (video)","score":0.3774000108242035},{"id":"https://openalex.org/keywords/gaussian","display_name":"Gaussian","score":0.3513999879360199},{"id":"https://openalex.org/keywords/asynchronous-communication","display_name":"Asynchronous communication","score":0.33959999680519104}],"concepts":[{"id":"https://openalex.org/C178650346","wikidata":"https://www.wikidata.org/wiki/Q201984","display_name":"Covariance","level":2,"score":0.6866000294685364},{"id":"https://openalex.org/C157286648","wikidata":"https://www.wikidata.org/wiki/Q846780","display_name":"Kalman filter","level":2,"score":0.5845000147819519},{"id":"https://openalex.org/C185142706","wikidata":"https://www.wikidata.org/wiki/Q1134404","display_name":"Covariance matrix","level":2,"score":0.5349000096321106},{"id":"https://openalex.org/C83042196","wikidata":"https://www.wikidata.org/wiki/Q5178898","display_name":"Covariance intersection","level":4,"score":0.5126000046730042},{"id":"https://openalex.org/C137250428","wikidata":"https://www.wikidata.org/wiki/Q5178897","display_name":"Covariance function","level":3,"score":0.477400004863739},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.44429999589920044},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.4375999867916107},{"id":"https://openalex.org/C180877172","wikidata":"https://www.wikidata.org/wiki/Q5401390","display_name":"Estimation of covariance matrices","level":3,"score":0.42010000348091125},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.4124999940395355},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.391400009393692},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.3912999927997589},{"id":"https://openalex.org/C99498987","wikidata":"https://www.wikidata.org/wiki/Q2210247","display_name":"Noise (video)","level":3,"score":0.3774000108242035},{"id":"https://openalex.org/C163716315","wikidata":"https://www.wikidata.org/wiki/Q901177","display_name":"Gaussian","level":2,"score":0.3513999879360199},{"id":"https://openalex.org/C151319957","wikidata":"https://www.wikidata.org/wiki/Q752739","display_name":"Asynchronous communication","level":2,"score":0.33959999680519104},{"id":"https://openalex.org/C182081679","wikidata":"https://www.wikidata.org/wiki/Q1275153","display_name":"Expectation\u2013maximization algorithm","level":3,"score":0.3174999952316284},{"id":"https://openalex.org/C112633086","wikidata":"https://www.wikidata.org/wiki/Q381287","display_name":"White noise","level":2,"score":0.31060001254081726},{"id":"https://openalex.org/C98045186","wikidata":"https://www.wikidata.org/wiki/Q205663","display_name":"Process (computing)","level":2,"score":0.303600013256073},{"id":"https://openalex.org/C96250715","wikidata":"https://www.wikidata.org/wiki/Q965330","display_name":"Estimation","level":2,"score":0.3012000024318695},{"id":"https://openalex.org/C2780695682","wikidata":"https://www.wikidata.org/wiki/Q4005959","display_name":"Jump","level":2,"score":0.296099990606308},{"id":"https://openalex.org/C97937538","wikidata":"https://www.wikidata.org/wiki/Q199691","display_name":"Laplace transform","level":2,"score":0.2930999994277954},{"id":"https://openalex.org/C39425265","wikidata":"https://www.wikidata.org/wiki/Q7098944","display_name":"Optimal estimation","level":2,"score":0.29269999265670776},{"id":"https://openalex.org/C60092789","wikidata":"https://www.wikidata.org/wiki/Q7301291","display_name":"Realized variance","level":3,"score":0.29089999198913574},{"id":"https://openalex.org/C158693339","wikidata":"https://www.wikidata.org/wiki/Q190524","display_name":"Eigenvalues and eigenvectors","level":2,"score":0.27489998936653137},{"id":"https://openalex.org/C206833254","wikidata":"https://www.wikidata.org/wiki/Q5421817","display_name":"Extended Kalman filter","level":3,"score":0.273499995470047},{"id":"https://openalex.org/C81692654","wikidata":"https://www.wikidata.org/wiki/Q225926","display_name":"Kriging","level":2,"score":0.26969999074935913},{"id":"https://openalex.org/C75172450","wikidata":"https://www.wikidata.org/wiki/Q623950","display_name":"Fast Fourier transform","level":2,"score":0.2606000006198883}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1007/s10107-019-01371-6","is_oa":false,"landing_page_url":"https://doi.org/10.1007/s10107-019-01371-6","pdf_url":null,"source":{"id":"https://openalex.org/S193920097","display_name":"Mathematical Programming","issn_l":"0025-5610","issn":["0025-5610","1436-4646"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Mathematical Programming","raw_type":"journal-article"},{"id":"pmh:oai:arXiv.org:1602.02185","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1602.02185","pdf_url":"https://arxiv.org/pdf/1602.02185","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:1602.02185","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1602.02185","pdf_url":"https://arxiv.org/pdf/1602.02185","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G5479139866","display_name":null,"funder_award_id":"IIS-1632935","funder_id":"https://openalex.org/F4320306076","funder_display_name":"National Science Foundation"},{"id":"https://openalex.org/G8390493754","display_name":null,"funder_award_id":"DMS-1522383","funder_id":"https://openalex.org/F4320306076","funder_display_name":"National Science Foundation"}],"funders":[{"id":"https://openalex.org/F4320306076","display_name":"National Science Foundation","ror":"https://ror.org/021nxhr62"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":34,"referenced_works":["https://openalex.org/W1486034269","https://openalex.org/W1963718895","https://openalex.org/W1966999234","https://openalex.org/W1967639437","https://openalex.org/W1982316839","https://openalex.org/W1997462664","https://openalex.org/W2020439483","https://openalex.org/W2034019416","https://openalex.org/W2035298767","https://openalex.org/W2035342544","https://openalex.org/W2044230091","https://openalex.org/W2049633694","https://openalex.org/W2053742104","https://openalex.org/W2063593194","https://openalex.org/W2076280637","https://openalex.org/W2077816703","https://openalex.org/W2094306994","https://openalex.org/W2100556411","https://openalex.org/W2101986122","https://openalex.org/W2102716594","https://openalex.org/W2107861471","https://openalex.org/W2135858796","https://openalex.org/W2142058898","https://openalex.org/W2153146814","https://openalex.org/W2158120228","https://openalex.org/W2163969674","https://openalex.org/W3121552575","https://openalex.org/W3122154929","https://openalex.org/W3123102284","https://openalex.org/W3123224097","https://openalex.org/W3124514199","https://openalex.org/W3125358545","https://openalex.org/W4291236916","https://openalex.org/W4292363360"],"related_works":[],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":1},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":1}],"updated_date":"2026-07-23T08:03:31.855105","created_date":"2016-06-24T00:00:00"}
