Nonparametric estimation of large covariance matrices with conditional sparsity
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Publication:2024473
DOI10.1016/j.jeconom.2020.09.002zbMath1471.62378OpenAlexW3093484827MaRDI QIDQ2024473
Degui Li, Bin Peng, Chenlei Leng, Han Chao Wang
Publication date: 4 May 2021
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.09.002
Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Density estimation (62G07) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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Cites Work
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