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

DOI10.1093/ECTJ/UTAA030OpenAlexW3089943365MaRDI QIDQ5083255FDOQ5083255

Yanyuan Ma, Guohua Zou, Rong Zhu, Xinyu Zhang

Publication date: 22 June 2022

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

Full work available at URL: https://europepmc.org/articles/pmc7946866

zbMATH Keywords

consistencymodel averagingasymptotic optimalityMallows criterioncovariance regression network model

Mathematics Subject Classification ID

Statistics (62-XX)

Cited In (2)

• Instrumental variable model average with applications in Mendelian randomization
• Title not available (Why is that?)

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