Ultrahigh dimensional precision matrix estimation via refitted cross validation

DOI10.1016/j.jeconom.2019.08.004zbMath1456.62106OpenAlexW2977059262WikidataQ98287986 ScholiaQ98287986MaRDI QIDQ2295804

Christina Dan Wang, Zhao Chen, LuHeng Wang, Run-Ze Li

Publication date: 17 February 2020

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7405931

zbMATH Keywords

precision matrixsample splittingcovariance matrix estimationspurious correlationrefitted cross validation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Computational methods for problems pertaining to statistics (62-08) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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