Subsampled Estimation is a statistical methodology in high-frequency data analysis that involves computing estimators from strategically selected, non-overlapping subsets of high-frequency observations to mitigate the effects of market microstructure noise while preserving asymptotic efficiency.
97
Publications
4.2K
Citations
203
Authors
139
Institutions
Publications per year
2017–2026
28
Parents
Publications
97
Distributed testing and estimation under sparse high dimensional models
Heather Battey, Jianqing Fan, Han Liu et al. · The Annals of Statistics · 2018 · 220 citations · Full text
Optimal subsampling for quantile regression in big data
HaiYing Wang, Yanyuan Ma · Biometrika · 2020 · 151 citations
1–5 of 97
Authors
203
- HW
6
h-index
- DN
5
h-index
- JP
4
h-index
- DW
3
h-index
- MW
3
h-index
1–5 of 203
Institutions
139
University of Connecticut
Storrs, United States
5 h-index
6 publications
389 citations
University of California San Diego
San Diego, United States
5 h-index
6 publications
150 citations
Tianjin University
Tianjin, China
4 h-index
9 publications
221 citations
Stanford University
Stanford, United States
4 h-index
5 publications
371 citations
Pennsylvania State University
State College, United States
3 h-index
3 publications
180 citations
University of Washington
Seattle, United States
3 h-index
5 publications
301 citations
Banaras Hindu University
Varanasi, India
2 h-index
2 publications
32 citations
Virginia Tech
Blacksburg, United States
2 h-index
2 publications
52 citations
1–8 of 139
Venues
- Journal of Econometrics
5 publications · 224 citations
5
h-index
- SSRN Electronic Journal
Repository · 5 publications · 169 citations
5
h-index
- Communication in Statistics- Theory and Methods
4 publications · 150 citations
4
h-index
- Journal of the American Statistical Association
4 publications · 192 citations
4
h-index
- arXiv (Cornell University)
Repository · 3 publications · 44 citations
3
h-index
1–5