Tuning-parameter selection in regularized estimations of large covariance matrices

DOI10.1080/00949655.2015.1017823OpenAlexW2117443065MaRDI QIDQ5222349FDOQ5222349

Authors: Yixin Fang, Binhuan Wang, Yang Feng 

Publication date: 1 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1308.3416

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zbMATH Keywords

bootstrapcross-validationcovariance matrixthresholdingoperator normFrobenius normbanding

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12)

Cites Work

• A new approach to Cholesky-based covariance regularization in high dimensions
• High dimensional covariance matrix estimation using a factor model
• Large Covariance Estimation by Thresholding Principal Orthogonal Complements
• Covariance regularization by thresholding
• Sparsistency and rates of convergence in large covariance matrix estimation
• On the distribution of the largest eigenvalue in principal components analysis
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• Linear Model Selection by Cross-Validation
• Title not available (Why is that?)
• Operator norm consistent estimation of large-dimensional sparse covariance matrices
• Smoothed functional principal components analysis by choice of norm
• Banding sample autocovariance matrices of stationary processes
• Generalized thresholding of large covariance matrices
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• Minimax estimation of large covariance matrices under \(\ell_1\)-norm
• Covariance matrix selection and estimation via penalised normal likelihood
• Optimal rates of convergence for covariance matrix estimation
• The Estimation of Prediction Error
• Positive-definite \(\ell_1\)-penalized estimation of large covariance matrices
• Estimation of high-dimensional prior and posterior covariance matrices in Kalman filter vari\-ants
• SURE-tuned tapering estimation of large covariance matrices
• SURE Information Criteria for Large Covariance Matrix Estimation and Their Asymptotic Properties

Cited In (8)

• Shrinkage tuning parameter selection in precision matrices estimation
• Estimating a covariance matrix for market risk management and the case of credit default swaps
• A multiple testing approach to the regularisation of large sample correlation matrices
• Nonparametric covariance estimation with shrinkage toward stationary models
• Estimation of covariance and precision matrix, network structure, and a view toward systems biology
• Cross-Validated Loss-based Covariance Matrix Estimator Selection in High Dimensions
• High-Dimensional Dynamic Covariance Matrices With Homogeneous Structure
• Sparse covariance matrix estimation for ultrahigh dimensional data

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