Estimation of a multiplicative correlation structure in the large dimensional case (Q2190234)

From MaRDI portal

Jump to:navigation, search

scientific article

Language	Label	Description	Also known as
English	Estimation of a multiplicative correlation structure in the large dimensional case	scientific article

Statements

scholarly article

0 references

Estimation of a multiplicative correlation structure in the large dimensional case (English)

0 references

0 references

Christian M. Hafner

0 references

Oliver B. Linton

0 references

Journal of Econometrics

0 references

publication date

18 June 2020

0 references

full work available at URL

https://arxiv.org/abs/1605.04838

0 references

zbMATH Keywords

correlation matrix

0 references

Kronecker product

0 references

matrix logarithm

0 references

multiway array data

0 references

portfolio choice

0 references

describes a project that uses

0 references

MaRDI profile type

MaRDI publication profile

0 references

Array Variate Random Variables with Multiway Kro- necker Delta Covariance Matrix Structure

0 references

0 references

Panel Data Models With Interactive Fixed Effects

0 references

Limiting behavior of \(M\)-estimators of regression coefficients in high dimensional linear models. I: Scale-dependent case. II: Scale-invariant case

0 references

One-Step Huber Estimates in the Linear Model

0 references

Covariance regularization by thresholding

0 references

Invariance of covariance structures under groups of transformations

0 references

Optimal rates of convergence for covariance matrix estimation

0 references

Optimal rates of convergence for sparse covariance matrix estimation

0 references

High dimensional generalized empirical likelihood for moment restrictions with dependent data

0 references

OUP accepted manuscript

0 references

Computational Techniques for Real Logarithms of Matrices

0 references

Common risk factors in the returns on stocks and bonds

0 references

High dimensional covariance matrix estimation using a factor model

0 references

High-dimensional covariance matrix estimation in approximate factor models

0 references

Large Covariance Estimation by Thresholding Principal Orthogonal Complements

0 references

Nonlinear time series. Nonparametric and parametric methods

0 references

Separable factor analysis with applications to mortality data

0 references

Equivariant minimax dominators of the MLE in the array normal model

0 references

Perturbations of the matrix logarithm

0 references

On parameters of increasing dimensions

0 references

Functions of Matrices

0 references

Separable covariance arrays via the Tucker product, with applications to multivariate relational data

0 references

Multilinear tensor regression for longitudinal relational data

0 references

Equivariant and scale-free Tucker decomposition models

0 references

Matrix Analysis

0 references

0 references

Robust regression: Asymptotics, conjectures and Monte Carlo

0 references

A well-conditioned estimator for large-dimensional covariance matrices

0 references

Nonlinear shrinkage estimation of large-dimensional covariance matrices

0 references

Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions

0 references

Classification of Higher-order Data with Separable Covariance and Structured Multiplicative or Additive Mean Models

0 references

Sparse Matrix Graphical Models

0 references

Prediction of multivariate time series by autoregressive model fitting

0 references

Estimating structured correlation matrices in smooth Gaussian random field models.

0 references

Asymptotics with increasing dimension for robust regression with applications to the bootstrap

0 references

Maximum likelihood estimation for the tensor normal distribution: Algorithm, minimum sample size, and empirical bias and dispersion

0 references

Dependent central limit theorems and invariance principles

0 references

A Bernstein type inequality and moderate deviations for weakly dependent sequences

0 references

The asymptotic variance matrix of the sample correlation matrix

0 references

High-dimensional semiparametric bigraphical models

0 references

The multilinear normal distribution: introduction and some basic properties

0 references

Testing Hypotheses About the Number of Factors in Large Factor Models

0 references

Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error

0 references

Linear Regression Limit Theory for Nonstationary Panel Data

0 references

Asymptotic behavior of M estimators of p regression parameters when \(p^ 2/n\) is large. II: Normal approximation

0 references

More on the Kronecker Structured Covariance Matrix

0 references

On asymptotically optimal confidence regions and tests for high-dimensional models

0 references

Asymptotic Statistics

0 references

Weak convergence and empirical processes. With applications to statistics

0 references

The ubiquitous Kronecker product

0 references

How close is the sample covariance matrix to the actual covariance matrix?

0 references

Hierarchical array priors for ANOVA decompositions of cross-classified data

0 references

Testing for Nodal Dependence in Relational Data Matrices

0 references

Asymptotics of empirical eigenstructure for high dimensional spiked covariance

0 references

On M-processes and M-estimation

0 references

Performance bounds for parameter estimates of high-dimensional linear models with correlated errors

0 references

Large Sample Covariance Matrices and High-Dimensional Data Analysis

0 references

Model selection and estimation in the matrix normal graphical model

0 references

Asymptotic behavior of M-estimators for the linear model

0 references

Identifiers

zbMATH Open document ID

0 references

10.1016/j.jeconom.2019.12.012

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

zbMATH DE Number

0 references

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:2190234

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q2190234&oldid=36594720"