of the matrix are zero. This paper focuses on estimating the sparsity of a large population covariance matrix using a … sample correlation matrix under multivariate normal assumptions. We show that sparsity of a population covariance matrix can … than its main competitors. Furthermore, when the dimension of the covariance matrix is very large, we propose a generalized …

can be reduced by allowing the covariance matrix of the structural shocks to be rank deficient using priors for standard …