Estimation of covariance matrix via the sparse Cholesky factor with lasso

DOI10.1016/j.jspi.2010.04.048zbMath1233.62118OpenAlexW2110711209MaRDI QIDQ993832

Changgee Chang, Ruey S. Tsay

Publication date: 20 September 2010

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2010.04.048

zbMATH Keywords

updatingmodified Cholesky decomposition\(L_{1}\) penaltyadding and removing variablesdynamic weighted lassoequi-angular covariance estimate

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Portfolio theory (91G10)

Related Items

Ensemble sparse estimation of covariance structure for exploring genetic disease data, Robust inference of risks of large portfolios, A permutation-based Bayesian approach for inverse covariance estimation, On variable ordination of Cholesky‐based estimation for a sparse covariance matrix, On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices, An improved modified cholesky decomposition approach for precision matrix estimation, Covariance estimation: the GLM and regularization perspectives, Risks of large portfolios, Cholesky-GARCH models with applications to finance, Two Cholesky-log-GARCH models for multivariate volatilities, An improved banded estimation for large covariance matrix

Uses Software

• FinTS

Cites Work

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