Ultrahigh dimensional precision matrix estimation via refitted cross validation

DOI10.1016/j.jeconom.2019.08.004zbMath1456.62106WikidataQ98287986 ScholiaQ98287986MaRDI QIDQ2295804

Zhao Chen, Run-Ze Li, LuHeng Wang, Christina Dan Wang

Publication date: 17 February 2020

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

Full work available at URL: https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7405931

zbMATH Keywords

precision matrix; sample splitting; covariance matrix estimation; spurious correlation; refitted cross validation

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62-08: Computational methods for problems pertaining to statistics

62H12: Estimation in multivariate analysis

62J07: Ridge regression; shrinkage estimators (Lasso)

62J05: Linear regression; mixed models

62P05: Applications of statistics to actuarial sciences and financial mathematics