A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices
Year of publication: |
2014
|
---|---|
Authors: | Bailey, Natalia ; Pesaran, M. Hashem ; Smith, L. Vanessa |
Publisher: |
Munich : Center for Economic Studies and ifo Institute (CESifo) |
Subject: | sparse correlation matrices | high-dimensional data | multiple testing | thresholding | shrinkage |
Series: | CESifo Working Paper ; 4834 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 787855952 [GVK] hdl:10419/102096 [Handle] RePec:ces:ceswps:_4834 [RePEc] |
Classification: | C13 - Estimation ; c58 |
Source: |
-
A multiple testing approach to the regularisation of large sample correlation matrices
Bailey, Natalia, (2015)
-
A multiple testing approach to the regularisation of large sample correlation matrices
Bailey, Natalia, (2014)
-
A multiple testing approach to the regularisation of large sample correlation matrices
Bailey, Natalia, (2015)
- More ...
-
A multiple testing approach to the regularisation of large sample correlation matrices
Bailey, Natalia, (2014)
-
A multiple testing approach to the regularisation of large sample correlation matrices
Bailey, Natalia, (2015)
-
A multiple testing approach to the regularisation of large sample correlation matrices
Bailey, Natalia, (2015)
- More ...