On lead-lag estimation of non-synchronously observed point processes

By Takaaki Shiotani, Takaki Hayashi, Yuta Koike

Published 2026-01-06

Everscope rating

1851.1

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

3 / 5

About this paper

Methodology: Kernel-based CPCF estimation with Lepski bandwidth selection. Problem types: Density Estimation, Time Series Forecasting, Optimization, Causal Inference.

arXiv:2601.01871 · Paper rankings

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