Estimation of time-varying covariance matrices for large datasets
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Cites work
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- Adaptive thresholding for sparse covariance matrix estimation
- An overview of the estimation of large covariance and precision matrices
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Covariance and precision matrix estimation for high-dimensional time series
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- Design-free estimation of variance matrices
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- DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
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- High-dimensional covariance estimation
- scientific article; zbMATH DE number 88844 (Why is no real title available?)
- Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models
- Inference on stochastic time-varying coefficient models
- Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
- Multivariate rotated ARCH models
- Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors
- Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions
- Statistical analysis of latent generalized correlation matrix estimation in transelliptical distribution
- Time varying undirected graphs
Cited in
(14)- Sparse Bayesian time-varying covariance estimation in many dimensions
- Nonparametric estimation of large covariance matrices with conditional sparsity
- Choosing between persistent and stationary volatility
- A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables
- Covariance matrix estimation and linear process bootstrap for multivariate time series of possibly increasing dimension
- Large-Scale Estimation of Variance and Covariance Components
- scientific article; zbMATH DE number 7376767 (Why is no real title available?)
- An overview of the estimation of large covariance and precision matrices
- Some inequalities for covariance with applications in statistics
- Fused-Lasso Regularized Cholesky Factors of Large Nonstationary Covariance Matrices of Replicated Time Series
- On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices
- Performance of empirical risk minimization for linear regression with dependent data
- A sorted penalty estimator: inference for a correlation-robust shrinkage method
- Local GMM estimation for nonparametric time-varying coefficient moment condition models
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