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Model averaging estimation for high-dimensional covariance matrices with a network structure
In this paper, we develop a model averaging method to estimate a high-dimensional covariance matrix, where the candidate models are constructed by different orders of polynomial functions. We propose a Mallows-type model averaging criterion and select the weights by minimizing this criterion, which...
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| Vydáno v: | Econom J |
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| Hlavní autoři: | , , , |
| Médium: | Artigo |
| Jazyk: | Inglês |
| Vydáno: |
Oxford University Press
2020
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| Témata: | |
| On-line přístup: | https://ncbi.nlm.nih.gov/pmc/articles/PMC7946866/ https://ncbi.nlm.nih.gov/pubmed/33746562 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1093/ectj/utaa030 |
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