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  • Search: subject:"large covariance matrix estimation"
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Subject
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CAPM 1 Correlation 1 Cross-section analysis 1 Estimation 1 Estimation theory 1 Korrelation 1 Querschnittsanalyse 1 Schätztheorie 1 Schätzung 1 Sparse alternatives 1 Statistical test 1 Statistischer Test 1 Wald test 1 cross-sectional dependence 1 factor pricing model 1 large covariance matrix estimation 1 screening 1 thresholding 1
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Type of publication
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Article 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1
Author
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Fan, Jianqing 1 Liao, Yuan 1 Yao, Jiawei 1
Published in...
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics 1
Source
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ECONIS (ZBW) 1
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Power enhancement in high-dimensional cross-sectional tests
Fan, Jianqing; Liao, Yuan; Yao, Jiawei - In: Econometrica : journal of the Econometric Society, an … 83 (2015) 4, pp. 1497-1541
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