A multiple testing approach to the regularisation of large sample correlation matrices
type: Item
instance of: scholarly article
title: A multiple testing approach to the regularisation of large sample correlation matrices
zbMATH Open document ID: 1452.62365
author: N. Bailey
author: M. Hashem Pesaran
author: L. Vanessa Smith
published in: Journal of Econometrics
publication date: 2019-04-29T00:00:00Z
full work available at URL: BPS 14 October 2018.pdf
Mathematics Subject Classification ID: 62H12
Mathematics Subject Classification ID: 62J15
Mathematics Subject Classification ID: 62-08
zbMATH DE Number: 7048564
zbMATH Keywords: high-dimensional data
zbMATH Keywords: multiple testing
zbMATH Keywords: non-Gaussian observations
zbMATH Keywords: sparsity
zbMATH Keywords: thresholding
zbMATH Keywords: shrinkage
describes a project that uses: FarmTest
MaRDI profile type: Publication
OpenAlex ID: W3125902100
cites work: Design-free estimation of variance matrices
cites work: Adapting to unknown sparsity by controlling the false discovery rate
cites work: On the validity of the formal Edgeworth expansion
cites work: Some theory for Fisher's linear discriminant function, `naive Bayes', and some alternatives when there are many more variables than observations
cites work: Covariance regularization by thresholding
cites work: Regularized estimation of large covariance matrices
cites work: Q5761948
cites work: Adaptive Thresholding for Sparse Covariance Matrix Estimation
cites work: Variances Are Not Always Nuisance Parameters
cites work: Nonconjugate Bayesian Estimation of Covariance Matrices and Its Use in Hierarchical Models
cites work: Shrinkage Estimators for Covariance Matrices
cites work: First-Order Methods for Sparse Covariance Selection
cites work: Robustness and Accuracy of Methods for High Dimensional Data Analysis Based on Student’s t-Statistic
cites work: Operator norm consistent estimation of large-dimensional sparse covariance matrices
cites work: High dimensional covariance matrix estimation using a factor model
cites work: Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
cites work: High-dimensional covariance matrix estimation in approximate factor models
cites work: Tuning-parameter selection in regularized estimations of large covariance matrices
cites work: High-dimensional volatility matrix estimation via wavelets and thresholding
cites work: THE FREQUENCY DISTRIBUTION OF THE PRODUCT-MOMENT CORRELATION COEFFICIENT IN RANDOM SAMPLES OF ANY SIZE DRAWN FROM NON-NORMAL UNIVERSES
cites work: The bootstrap and Edgeworth expansion
cites work: A Hierarchical Eigenmodel for Pooled Covariance Estimation
cites work: Q4187195
cites work: Matrix Analysis
cites work: A well-conditioned estimator for large-dimensional covariance matrices
cites work: Partial Correlation Estimation by Joint Sparse Regression Models
cites work: Testing Weak Cross-Sectional Dependence in Large Panels
cites work: Joint mean-covariance models with applications to longitudinal data: unconstrained parameterisation
cites work: Maximum likelihood estimation of generalised linear models for multivariate normal covariance matrix
cites work: Covariance estimation: the GLM and regularization perspectives
cites work: FORMALIZED DATA SNOOPING BASED ON GENERALIZED ERROR RATES
cites work: Exact and Approximate Stepdown Methods for Multiple Hypothesis Testing
cites work: Positive definite estimators of large covariance matrices
cites work: Sparse permutation invariant covariance estimation
cites work: A new approach to Cholesky-based covariance regularization in high dimensions
cites work: Generalized Thresholding of Large Covariance Matrices
cites work: The econometrics of mean‐variance efficiency tests: a survey
cites work: Q3643299
cites work: Positive-Definite ℓ1-Penalized Estimation of Large Covariance Matrices
cites work: Model selection and estimation in the Gaussian graphical model
cites work: A new perspective on robust \(M\)-estimation: finite sample theory and applications to dependence-adjusted multiple testing
cites work: The Adaptive Lasso and Its Oracle Properties
Wikidata QID: Q128998118
DOI: 10.1016/J.JECONOM.2018.10.006
description: scientific article; zbMATH DE number 7048564