A Projection Based Conditional Dependence Measure with Applications to High-dimensional Undirected Graphical Models

DOI10.48550/arXiv.1501.01617zbMath1456.62102arXiv1501.01617WikidataQ102152496 ScholiaQ102152496MaRDI QIDQ141126

Yang Feng, Jianqing Fan, Lucy Xia, Yang Feng, Jianqing Fan, Lucy Xia

Publication date: 7 January 2015

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

Full work available at URL: https://arxiv.org/abs/1501.01617

zbMATH Keywords

projection; factor model; graphical model; distance covariance; conditional dependence

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62-08: Computational methods for problems pertaining to statistics

62G10: Nonparametric hypothesis testing

62H12: Estimation in multivariate analysis

62H22: Probabilistic graphical models

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Uses Software

• R
• glasso
• GAMLSS
• MIM
• multivariance
• FarmTest
• pgraph