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Regularized Semiparametric Estimation of High Dimensional Dynamic Conditional Covariance Matrices

Morana, Claudio - 2019

This paper proposes a three-step estimation strategy for dynamic conditional correlation models. In the first step … usual normalization. In the third step, the two-step conditional covariance and correlation matrices are regularized by … model. This yields the final, third step smoothed estimate of the conditional covariance and correlation matrices. Due to …

Persistent link: https://www.econbiz.de/10012899132

Nonparametric estimation of large covariance matrices with conditional sparsity

Wang, Hanchao; Peng, Bin; Li, Degui; Leng, Chenlei - In: Journal of econometrics 223 (2021) 1, pp. 53-72

Persistent link: https://www.econbiz.de/10012619958

Conditional nonparametric variable screening by neural factor regression

Fan, Jianqing; Wang, Weining; Zhao, Yue - 2024

High-dimensional covariates often admit linear factor structure. To effectively screen correlated covariates in high-dimension, we propose a conditional variable screening test based on non-parametric regression using neural networks due to their representation power. We ask the question whether...

Persistent link: https://www.econbiz.de/10015053806

Examples of L2-complete and boundedly-complete distributions

Andrews, Donald W. K. - In: Journal of econometrics 199 (2017) 2, pp. 213-220

Persistent link: https://www.econbiz.de/10011897680

Bayesian estimation of possibly similar yield densities : implications for rating crop insurance contracts

Ker, Alan P.; Tolhurst, Tor N.; Liu, Yong - In: American journal of agricultural economics 98 (2016) 2, pp. 360-382

Persistent link: https://www.econbiz.de/10011595810

Sparse covariance matrix estimation in high-dimensional deconvolution

Belomestny, Denis; Trabs, Mathias; Cybakov, Aleksandr B. - 2017

Persistent link: https://www.econbiz.de/10012198572

Nonparametric estimation and conformal inference of the sufficient forecasting with a diverging number of factors

Yu, Xiufan; Yao, Jiawei; Xue, Lingzhou - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 342-354

Persistent link: https://www.econbiz.de/10012804117

Selecting the W matrix : parametric vs nonparametric approaches

Mur, Jésus; Herrera, Marcos; Ruiz Marín, Manuel - 2011

In spatial econometrics, it is customary to specify a weighting matrix, the so-called W matrix, just choosing one matrix from the different types of matrices a user is considering (Anselin, 2002). In general, this selection is made a priori, depending on the user's judgment. This decision is...

Persistent link: https://www.econbiz.de/10011538215

Dynamic Semiparametric Factor Models in Risk Neutral Density Estimation

Giacomini, Enzo - 2017

Dimension reduction techniques for functional data analysis model and approximate smooth random functions by lower dimensional objects. In many applications the focus of interest lies not only in dimension reduction but also in the dynamic behaviour of the lower dimensional objects. The most...

Persistent link: https://www.econbiz.de/10012966268

Time varying adaptive copulae and dynamic semiparametric factor models with applications in finance

Giacomini, Enzo - 2009

Persistent link: https://www.econbiz.de/10003931427