Testing and support recovery of correlation structures for matrix-valued observations with an application to stock market data
Year of publication: |
2023
|
---|---|
Authors: | Chen, Xin ; Yang, Dan ; Yan, Xu ; Xia, Yin ; Wang, Dong ; Shen, Haipeng |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 232.2023, 2, p. 544-564
|
Subject: | Kronecker product | matrix sub-Gaussian distribution | Portfolio construction | Covariance matrix | Testing of non-correlation | one-sample and two-sample | Korrelation | Correlation | Aktienmarkt | Stock market | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory | Statistischer Test | Statistical test |
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