Power-law partial correlation network models

DOI10.1214/18-EJS1478zbMath1403.62093OpenAlexW2890368848WikidataQ129250854 ScholiaQ129250854MaRDI QIDQ1786580

Gábor Lugosi, Christian Brownlees, Matteo Barigozzi

Publication date: 24 September 2018

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

Full work available at URL: https://projecteuclid.org/euclid.ejs/1537257629

zbMATH Keywords

random graphspower-lawpartial correlation networks

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Random graphs (graph-theoretic aspects) (05C80) Graphs and linear algebra (matrices, eigenvalues, etc.) (05C50)

Related Items (3)

The Zipf-polylog distribution: modeling human interactions through social networks ⋮ How to measure interconnectedness between banks, insurers and financial conglomerates ⋮ Bayesian nonparametric sparse VAR models

Uses Software

• plfit

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A well-conditioned estimator for large-dimensional covariance matrices
• Nonparametric eigenvalue-regularized precision or covariance matrix estimator
• Covariance estimation: the GLM and regularization perspectives
• Spectra of graphs
• A guided tour of Chernoff bounds
• A lower bound for the Laplacian eigenvalues of a graph-proof of a conjecture by Guo
• Covariance regularization by thresholding
• Sparsistency and rates of convergence in large covariance matrix estimation
• A simple general approach to inference about the tail of a distribution
• On the network topology of variance decompositions: measuring the connectedness of financial firms
• The Network Origins of Aggregate Fluctuations
• Power-Law Distributions in Empirical Data
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• Eigenvalues of the Laplacian of a graph^∗
• Forecasting Using Principal Components From a Large Number of Predictors
• Financial Network Systemic Risk Contributions
• Partial Correlation Estimation by Joint Sparse Regression Models
• The phase transition in inhomogeneous random graphs
• Probability Inequalities for Sums of Bounded Random Variables
• Inferential Theory for Factor Models of Large Dimensions

This page was built for publication: Power-law partial correlation network models