A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables (Q2323372)
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scientific article; zbMATH DE number 7100395
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| English | A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables |
scientific article; zbMATH DE number 7100395 |
Statements
A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables (English)
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2 September 2019
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dynamic covariance matrix
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MAMAR
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semiparametric estimation
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sparsity
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uniform consistency
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0.91486317
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0.8952365
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0.8913185
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0.88727266
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0.8797659
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0.87920827
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0.8780086
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0.8759729
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0.8734558
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