A class of structured high-dimensional dynamic covariance matrices

DOI10.1007/S40304-022-00321-7MaRDI QIDQ6999652zbMATH OpenFDO

Authors Jin Yang, Heng Lian, Wenyang Zhang

Publication date 8 April 2025

Published in Communications in Mathematics and Statistics (Search for Journal in Brave)

Full work available at URL https://www.ncbi.nlm.nih.gov/pmc/articles/12016050

zbMATH Keywords

factor modelsadditive structureB-splineportfolio allocationhigh-dimensional dynamic covariance matrices

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12)

This page was built for publication: A class of structured high-dimensional dynamic covariance matrices

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6999652)