Model averaging estimation for high-dimensional covariance matrices with a network structure

DOI10.1093/ectj/utaa030OpenAlexW3089943365MaRDI QIDQ5083255

Yanyuan Ma, Rong Zhu, Xinyu Zhang, 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

zbMATH Keywords

consistencyasymptotic optimalityMallows criterionmodel averagingcovariance regression network model

Mathematics Subject Classification ID

Statistics (62-XX)