Estimation of a multiplicative correlation structure in the large dimensional case

DOI10.1016/j.jeconom.2019.12.012zbMath1456.62103arXiv1605.04838OpenAlexW2997880915WikidataQ126424303 ScholiaQ126424303MaRDI QIDQ2190234

Haihan Tang, Christian M. Hafner, Oliver B. Linton

Publication date: 18 June 2020

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

Full work available at URL: https://arxiv.org/abs/1605.04838

zbMATH Keywords

Kronecker productportfolio choicecorrelation matrixmatrix logarithmmultiway array data

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Uses Software

• mftoolbox

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