Optimal estimation of sparse correlation matrices of semiparametric Gaussian copulas
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Publication:1748867
DOI10.4310/SII.2014.V7.N2.A5zbMATH Open1388.62091MaRDI QIDQ1748867FDOQ1748867
Authors: Lingzhou Xue, Hui Zou 
Publication date: 14 May 2018
Published in: Statistics and Its Interface (Search for Journal in Brave)
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- Model selection in sparse high-dimensional vine copula models with an application to portfolio risk
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- Estimation of functionals of sparse covariance matrices
- Adaptive estimation of the copula correlation matrix for semiparametric elliptical copulas
- Robust covariance and scatter matrix estimation under Huber's contamination model
- Rejoinder of ``Estimating structured high-dimensional covariance and precision matrices: optimal rates and adaptive estimation
- Discussion of ``Estimating structured high-dimensional covariance and precision matrices: optimal rates and adaptive estimation
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