Estimation of high-dimensional dynamic conditional precision matrices with an application to forecast combination
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Publication:5862514
DOI10.1080/07474938.2021.1889208zbMATH Open1490.62128OpenAlexW3193121247MaRDI QIDQ5862514FDOQ5862514
Authors: Tae-Hwy Lee, Millie Yi Mao, Aman Ullah 
Publication date: 9 March 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://economics.ucr.edu/repec/ucr/wpaper/202012.pdf
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Cites Work
- Is there an optimal forecast combination?
- Least-squares forecast averaging
- Covariance regularization by thresholding
- A well-conditioned estimator for large-dimensional covariance matrices
- Nonlinear shrinkage estimation of large-dimensional covariance matrices
- Spectrum estimation for large dimensional covariance matrices using random matrix theory
- Adaptive thresholding for sparse covariance matrix estimation
- Innovated scalable efficient estimation in ultra-large Gaussian graphical models
- Improved Estimation of Eigenvalues and Eigenvectors of Covariance Matrices Using Their Sample Estimates
- Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions
- A multiple testing approach to the regularisation of large sample correlation matrices
- Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model
- Cleaning large correlation matrices: tools from random matrix theory
- Time-varying model averaging
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