Tuning-parameter selection in regularized estimations of large covariance matrices
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Publication:5222349
DOI10.1080/00949655.2015.1017823OpenAlexW2117443065MaRDI QIDQ5222349
Yang Feng, Yixin Fang, Binhuan Wang
Publication date: 1 April 2020
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1308.3416
Related Items (3)
Cross-Validated Loss-based Covariance Matrix Estimator Selection in High Dimensions ⋮ Estimating a covariance matrix for market risk management and the case of credit default swaps ⋮ A multiple testing approach to the regularisation of large sample correlation matrices
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