Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data

DOI10.1016/j.jeconom.2021.09.014OpenAlexW3210222522MaRDI QIDQ2682965

Yanyan Li

Publication date: 1 February 2023

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

Full work available at URL: https://arxiv.org/abs/2006.16501

zbMATH Keywords

covariance matrixKronecker productportfolio constructionmatrix sub-Gaussian distributionone-sample and two-sampletesting of non-correlation

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Uses Software

• glasso

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• Unnamed Item
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