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  • Search: subject:"Thresholding estimator"
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Year of publication
Subject
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Analysis of variance 1 Bandable covariance 1 Banding estimator 1 Correlation 1 Estimation theory 1 High-dimensional covariance matrix 1 Korrelation 1 Large $p$ 1 Portfolio selection 1 Portfolio-Management 1 Principal orthogonal complement thresholding estimator 1 Principle component analysis 1 Ratio-consistency 1 Realized kernels 1 Schätztheorie 1 Tapering estimator 1 Thresholding estimator 1 Time series analysis 1 Varianzanalyse 1 Zeitreihenanalyse 1 small $n$ 1
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Online availability
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Free 1 Undetermined 1
Type of publication
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Article 1 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
All
English 1 Undetermined 1
Author
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Chen, Song Xi 1 Qiu, Yumou 1 Sun, Yucheng 1 Xu, Wen 1
Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 1 MPRA Paper 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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A factor-based estimation of integrated covariance matrix with noisy high-frequency data
Sun, Yucheng; Xu, Wen - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 2, pp. 770-784
Persistent link: https://www.econbiz.de/10013534498
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Cover Image
Band Width Selection for High Dimensional Covariance Matrix Estimation
Qiu, Yumou; Chen, Song Xi - Volkswirtschaftliche Fakultät, … - 2014
The banding estimator of Bickel and Levina (2008a) and its tapering version of Cai, Zhang and Zhou (2010), are important high dimensional covariance estimators. Both estimators require choosing a band width parameter. We propose a band width selector for the banding covariance estimator by...
Persistent link: https://www.econbiz.de/10011113993
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