Penalized sparse covariance regression with high dimensional covariates
Yuan Gao, Zhiyuan Zhang, Zhanrui Cai, Xuening Zhu, Tao Zou, and Hansheng Wang
| Year of publication: |
2025
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|---|---|
| Authors: | Gao, Yuan ; Zhang, Zhiyuan ; Cai, Zhanrui ; Zhu, Xuening ; Zou, Tao ; Wang, Hansheng |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 43.2025, 3, p. 615-626
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| Subject: | Covariance matrix estimation | Covariance regression | Folded concave penalty | High dimensional modeling | Korrelation | Correlation | Schätztheorie | Estimation theory | Regressionsanalyse | Regression analysis | Varianzanalyse | Analysis of variance | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2024.2415109 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015534307