Narrow search
Showing 1 - 7 of 7
Cover Image
A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices
Bailey, Natalia; Pesaran, M. Hashem; Smith, L. Vanessa - CESifo - 2014
multiple testing (MT) estimator to a number of thresholding and shrinkage estimators in the literature in a detailed Monte … the inverse covariance matrix is of interest then we recommend a shrinkage version of the MT estimator that ensures …
Persistent link: https://www.econbiz.de/10010877672
Cover Image
A multiple testing approach to the regularisation of large sample correlation matrices
Bailey, Natalia; Pesaran, M. Hashem; Smith, L. Vanessa - 2015
This paper proposes a regularisation method for the estimation of large covariance matrices that uses insights from the multiple testing (MT) literature. The approach tests the statistical significance of individual pair-wise correlations and sets to zero those elements that are not...
Persistent link: https://www.econbiz.de/10011460771
Cover Image
A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices
Bailey, Natalia; Pesaran, M. Hashem; Smith, L. Vanessa - 2014
multiple testing (MT) estimator to a number of thresholding and shrinkage estimators in the literature in a detailed Monte … the inverse covariance matrix is of interest then we recommend a shrinkage version of the MT estimator that ensures …
Persistent link: https://www.econbiz.de/10010398521
Cover Image
A multiple testing approach to the regularisation of large sample correlation matrices
Bailey, Natalia; Pesran, M. Hashem; Smith, L. Vanessa - In: Journal of econometrics 208 (2019) 2, pp. 507-534
Persistent link: https://www.econbiz.de/10012145084
Cover Image
A multiple testing approach to the regularisation of large sample correlation matrices
Bailey, Natalia; Pesaran, M. Hashem; Smith, L. Vanessa - 2015
This paper proposes a regularisation method for the estimation of large covariance matrices that uses insights from the multiple testing (MT) literature. The approach tests the statistical significance of individual pair-wise correlations and sets to zero those elements that are not...
Persistent link: https://www.econbiz.de/10011405221
Cover Image
A multiple testing approach to the regularisation of large sample correlation matrices
Bailey, Natalia; Pesaran, M. Hashem; Smith, L. Vanessa - 2014
multiple testing (MT) estimator to a number of thresholding and shrinkage estimators in the literature in a detailed Monte … the inverse covariance matrix is of interest then we recommend a shrinkage version of the MT estimator that ensures …
Persistent link: https://www.econbiz.de/10010361374
Cover Image
A multiple testing approach to the regularisation of large sample correlation matrice
Bailey, Natalia; Peseran, Hashem; Smith, L. Vanessa - 2014
Persistent link: https://www.econbiz.de/10010366306