Nonparametric estimation of large covariance matrices with conditional sparsity

DOI10.1016/j.jeconom.2020.09.002zbMath1471.62378MaRDI QIDQ2024473

Chenlei Leng, Degui Li, Bin Peng, Han Chao Wang

Publication date: 4 May 2021

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.09.002

zbMATH Keywords

uniform convergence; kernel estimation; sparsity; large covariance matrix; approximate factor model

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62H25: Factor analysis and principal components; correspondence analysis

62G07: Density estimation

62H12: Estimation in multivariate analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Uses Software

• factorcpt