A multiple testing approach to the regularisation of large sample correlation matrices (Q1739875)
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scientific article; zbMATH DE number 7048564
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| English | A multiple testing approach to the regularisation of large sample correlation matrices |
scientific article; zbMATH DE number 7048564 |
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A multiple testing approach to the regularisation of large sample correlation matrices (English)
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29 April 2019
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high-dimensional data
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multiple testing
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non-Gaussian observations
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sparsity
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thresholding
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shrinkage
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0.7767828106880188
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0.7741224765777588
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0.7610151171684265
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0.7516576051712036
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0.7511990070343018
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