Testing super-diagonal structure in high dimensional covariance matrices

DOI10.1016/j.jeconom.2016.05.007zbMath1443.62166OpenAlexW2409073389MaRDI QIDQ308372

Song Xi Chen, Jing (Selena) He

Publication date: 6 September 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.05.007

zbMATH Keywords

high dimensionalitymultiple testingsparse covariance matrixbandable covariance

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Computational methods for problems pertaining to statistics (62-08) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)

Related Items (4)

Testing super-diagonal structure in high dimensional covariance matrices ⋮ Variance-corrected tests for covariance structures with high-dimensional data ⋮ Testing diagonality of high-dimensional covariance matrix under non-normality ⋮ Test for high dimensional covariance matrices

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