Factorized estimation of high‐dimensional nonparametric covariance models

DOI10.1111/SJOS.12529zbMath1496.62098OpenAlexW2912440680MaRDI QIDQ5043769

Jie Li, Jian Zhang

Publication date: 6 October 2022

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/sjos.12529

zbMATH Keywords

thresholdingkernel estimatorhigh-dimensional nonparametric covariance modelsshrinkage and consistency

Mathematics Subject Classification ID

Density estimation (62G07) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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