Ultrahigh dimensional precision matrix estimation via refitted cross validation
Luheng Wang, Zhao Chen, Christina Dan Wang, Runze Li
| Year of publication: |
2020
|
|---|---|
| Authors: | Wang, Luheng ; Chen, Zhao ; Wang, Christina Dan ; Li, Runze |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 215.2020, 1, p. 118-130
|
| Subject: | Covariance matrix estimation | Precision matrix | Refitted cross validation | Sample splitting | Spurious correlation | Schätztheorie | Estimation theory | Korrelation | Correlation | 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.2019.08.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012439399