Nonparametric estimation of large covariance matrices with conditional sparsity
journal contribution
posted on 2021-07-01, 00:00 authored by Hanchao Wang, Bin Peng, Degui Li, Chenlei LengNonparametric estimation of large covariance matrices with conditional sparsity
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Journal
Journal of economicsVolume
223Pagination
53-72Location
Amsterdam, The NetherlandsISSN
0304-4076eISSN
1872-6895Language
EnglishPublication classification
C1.1 Refereed article in a scholarly journal, C Journal articleIssue
1Publisher
ElsevierUsage metrics
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Keywords
Approximate factor modelBusiness & EconomicsCONVERGENCEEconomicsFACTOR MODELSHIGH-DIMENSIONAL COVARIANCEKernel estimationLarge covariance matrixMathematical Methods In Social SciencesMathematicsMathematics, Interdisciplinary ApplicationsNUMBERPhysical SciencesRATESScience & TechnologySocial SciencesSocial Sciences, Mathematical MethodsSparsityUniform convergenceDepartment of Economics3802 Econometrics4905 Statistics
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