Concepedia

Noise-robust Estimation

Noise-Robust Estimation is a methodological framework in high-frequency time series analysis that enables accurate parameter inference by minimizing the distorting effects of measurement noise and microstructure noise inherent in observed data.

855

Publications

47.3K

Citations

2K

Authors

916

Institutions

Publications per year

2017–2026

188

Parents

Publications

855

Robust estimation of background noise and signal detection in climatic time series

Michael Mann, Jonathan M. Lees · Climatic Change · 1996 · 1.4K citations

, , +17

REDFIT: estimating red-noise spectra directly from unevenly spaced paleoclimatic time series

Michael Schulz, Manfred Mudelsee · Computers & Geosciences · 2002 · 1.2K citations

, , +13

Realized Variance and Market Microstructure Noise

Peter Reinhard Hansen, Asger Lunde · Journal of Business and Economic Statistics · 2006 · 1.2K citations

, , +17

Noise spectrum estimation in adverse environments: improved minima controlled recursive averaging

Israel Cohen · IEEE Transactions on Speech and Audio Processing · 2003 · 927 citations

, , +15

How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise

Yacine Aı̈t-Sahalia, Per A. Mykland, Lan Zhang · Review of Financial Studies · 2005 · 923 citations

, , +16

1–5 of 855

Authors

2K

  1. PA
    Per A. Mykland

    University of Chicago, United States

    10 publications · 1.5K citations

    10

    h-index

  2. YA
    Yacine Aı̈t-Sahalia

    Princeton University, United States

    8 publications · 1.8K citations

    8

    h-index

  3. TQ
    Tianshuang Qiu

    Dalian University of Technology, China

    7 publications · 214 citations

    7

    h-index

  4. PS
    Petre Stoica

    Uppsala University, Sweden

    7 publications · 752 citations

    7

    h-index

  5. AL
    Asger Lunde

    Aarhus University, Denmark

    6 publications · 1.8K citations

    6

    h-index

1–5 of 2K

Institutions

916

  1. University of Chicago

    Chicago, United States

    18 h-index

    23 publications

    3.5K citations

  2. Centre National de la Recherche Scientifique

    Paris, France

    15 h-index

    42 publications

    950 citations

  3. Princeton University

    Princeton, United States

    12 h-index

    16 publications

    2.1K citations

  4. Massachusetts Institute of Technology

    Cambridge, United States

    11 h-index

    26 publications

    1.1K citations

  5. Dalian University of Technology

    Dalian, China

    11 h-index

    29 publications

    802 citations

  6. University of Illinois Chicago

    Chicago, United States

    10 h-index

    12 publications

    1.7K citations

  7. Dalian University

    Dalian, China

    9 h-index

    23 publications

    657 citations

  8. Xidian University

    Xi'an, China

    9 h-index

    29 publications

    906 citations

1–8 of 916

Venues

  1. IEEE Transactions on Signal Processing

    60 publications · 3.1K citations

    31

    h-index

  2. Signal Processing

    36 publications · 1K citations

    19

    h-index

  3. IEEE Signal Processing Letters

    17 publications · 571 citations

    15

    h-index

  4. Journal of Econometrics

    14 publications · 1.3K citations

    14

    h-index

  5. SSRN Electronic Journal

    Repository · 14 publications · 823 citations

    13

    h-index

1–5