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