Averaging estimation for conditional covariance models

DOI10.1080/03610926.2018.1483511MaRDI QIDQ5076879zbMATH OpenOpenAlexFDO

Authors Jin Liu

Publication date 17 May 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2018.1483511

zbMATH Keywords

averaging estimationconditional covariance estimationcurse of dimensionalitymarginal regressionportfolio allocation

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A flexible semiparametric forecasting model for time series
• An overview of the estimation of large covariance and precision matrices
• Asymptotically efficient estimation of covariance matrices with linear structure
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Efficient estimation of conditional variance functions in stochastic regression
• Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model
• Generalized autoregressive conditional heteroscedasticity
• Local linear estimation of covariance matrices via Cholesky decomposition
• Maximum likelihood estimation for linear Gaussian covariance models
• Nonparametric covariance model
• Semiparametric estimation of conditional heteroscedasticity via single-index modeling
• Vast portfolio selection with gross-exposure constraints

Cited in

(4)

• Model averaging with averaging covariance matrix
• Conditional estimation of average on the basis of weighting data
• Averaging estimators for discrete choice by \(M\)-fold cross-validation
• Cholesky-based model averaging for covariance matrix estimation

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