Ultrahigh dimensional precision matrix estimation via refitted cross validation
Year of publication: |
2020
|
---|---|
Authors: | Wang, Luheng ; Chen, Zhao ; Wang, Christina Dan ; Li, Runze |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 215.2020, 1, p. 118-130
|
Subject: | Covariance matrix estimation | Precision matrix | Refitted cross validation | Sample splitting | Spurious correlation | Korrelation | Correlation | Schätztheorie | Estimation theory | Stichprobenerhebung | Sampling | Momentenmethode | Method of moments |
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