Showing 1 - 3 of 3
This paper proposes a regularisation method for the estimation of large covariance matrices that uses insights from the multiple testing (MT) literature. The approach tests the statistical significance of individual pair-wise correlations and sets to zero those elements that are not...
Persistent link: https://www.econbiz.de/10011405221
Persistent link: https://www.econbiz.de/10003370477
Persistent link: https://www.econbiz.de/10002808264