Tuning-parameter selection in regularized estimations of large covariance matrices
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Publication:5222349
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Cites work
- scientific article; zbMATH DE number 3483405 (Why is no real title available?)
- scientific article; zbMATH DE number 6026126 (Why is no real title available?)
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- SURE-tuned tapering estimation of large covariance matrices
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- The Estimation of Prediction Error
Cited in
(8)- High-Dimensional Dynamic Covariance Matrices With Homogeneous Structure
- Cross-Validated Loss-based Covariance Matrix Estimator Selection in High Dimensions
- Sparse covariance matrix estimation for ultrahigh dimensional data
- Nonparametric covariance estimation with shrinkage toward stationary models
- Estimation of covariance and precision matrix, network structure, and a view toward systems biology
- Estimating a covariance matrix for market risk management and the case of credit default swaps
- Shrinkage tuning parameter selection in precision matrices estimation
- A multiple testing approach to the regularisation of large sample correlation matrices
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