Estimation of high-dimensional dynamic conditional precision matrices with an application to forecast combination

DOI10.1080/07474938.2021.1889208zbMath1490.62128OpenAlexW3193121247MaRDI QIDQ5862514

Tae-Hwy Lee, Aman Ullah, Millie Yi Mao

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

zbMATH Keywords

DCPforecast combination puzzlehigh-dimensional conditional precision matrixISEE

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12)

Related Items (1)

Econometric Reviews Honors Cheng Hsiao

Cites Work

• Is there an optimal forecast combination?
• A well-conditioned estimator for large-dimensional covariance matrices
• Nonlinear shrinkage estimation of large-dimensional covariance matrices
• Least-squares forecast averaging
• Innovated scalable efficient estimation in ultra-large Gaussian graphical models
• Cleaning large correlation matrices: tools from random matrix theory
• Covariance regularization by thresholding
• Spectrum estimation for large dimensional covariance matrices using random matrix theory
• A multiple testing approach to the regularisation of large sample correlation matrices
• Time-varying model averaging
• Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions
• Adaptive Thresholding for Sparse Covariance Matrix Estimation
• Improved Estimation of Eigenvalues and Eigenvectors of Covariance Matrices Using Their Sample Estimates
• Estimation and Forecasting of Dynamic Conditional Covariance: A Semiparametric Multivariate Model

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