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Search: subject:"Tapering estimator"
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Tapering estimator
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Bandable covariance
1
Banding estimator
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Covariance matrix
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Cross-validation
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Frobenius norm
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Large $p$
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Chen, Song Xi
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Qiu, Yumou
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Yi, Feng
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Zou, Hui
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Computational Statistics & Data Analysis
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Band Width Selection for High Dimensional Covariance Matrix Estimation
Qiu, Yumou
;
Chen, Song Xi
-
Volkswirtschaftliche Fakultät, …
-
2014
interval around the band width estimate. Extensions to the band width selection for the
tapering
estimator
and threshold level …
Persistent link: https://www.econbiz.de/10011113993
Saved in:
2
SURE-tuned tapering estimation of large covariance matrices
Yi, Feng
;
Zou, Hui
- In:
Computational Statistics & Data Analysis
58
(
2013
)
C
,
pp. 339-351
develop a Stein’s Unbiased Risk Estimation (SURE) theory for estimating the Frobenius risk of the
tapering
estimator
. SURE …
Persistent link: https://www.econbiz.de/10010595084
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