Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data (Q2682965)
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scientific article; zbMATH DE number 7648726
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| English | Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data |
scientific article; zbMATH DE number 7648726 |
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Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data (English)
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1 February 2023
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Kronecker product
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matrix sub-Gaussian distribution
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portfolio construction
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covariance matrix
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testing of non-correlation
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one-sample and two-sample
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