A multiple testing approach to the regularisation of large sample correlation matrices
Natalia Bailey, M. Hashem Pesaran, L. Vanessa Smith
| Year of publication: |
2019
|
|---|---|
| Authors: | Bailey, Natalia ; Pesran, M. Hashem ; Smith, L. Vanessa |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 208.2019, 2, p. 507-534
|
| Subject: | High-dimensional data | Multiple testing | Non-Gaussian observations | Sparsity | Thresholding | Shrinkage | Statistischer Test | Statistical test | Schätzung | Estimation | Korrelation | Correlation | Schätztheorie | Estimation theory | Bootstrap-Verfahren | Bootstrap approach | Stichprobenerhebung | Sampling |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2018.10.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012145084