Factor-guided estimation of large covariance matrix function with conditional functional sparsity

DOI10.1016/J.JECONOM.2025.106070MaRDI QIDQ6930847zbMATH OpenFDO

Authors Dong Li, Xinghao Qiao, Zihan Wang

Publication date 12 September 2025

Published in Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

model selectioneigenanalysisfunctional factor modelasymptotic identifiabilityhigh-dimensional functional time seriesadaptive functional thresholding

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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