Ultrahigh dimensional precision matrix estimation via refitted cross validation
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 |
-
Fife, Dunstin A., (2016)
-
Small sample properties of estimators of non-linear models of covariance structure
Clark, Todd E., (1995)
-
Anderson, O. D., (1982)
- More ...
-
Asset selection based on high frequency Sharpe ratio
Wang, Christina Dan, (2022)
-
Local rank inference for varying coefficient models
Wang, Lan, (2009)
-
Industrial energy regulation : the role of business conglomerates in China
Chen, Qiaoyi, (2021)
- More ...