Model averaging estimation for high-dimensional covariance matrices with a network structure
From MaRDI portal
Publication:5083255
DOI10.1093/ectj/utaa030MaRDI QIDQ5083255
Yanyuan Ma, Xinyu Zhang, Rong Zhu, Guo Hua Zou
Publication date: 22 June 2022
Published in: The Econometrics Journal (Search for Journal in Brave)
Full work available at URL: https://europepmc.org/articles/pmc7946866
consistency; asymptotic optimality; Mallows criterion; model averaging; covariance regression network model
62-XX: Statistics