This paper proposes a novel regularisation method for the estimation of large covariance matrices, which makes use of insights from the multiple testing literature. The method tests the statistical significance of individual pair-wise correlations and sets to zero those elements that are not...

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...

Financial data (e.g., intraday share prices) are recorded almost continuously and thus take the form of a series of curves over the trading days. Those sequentially collected curves can be viewed as functional time series. When we have a large number of highly correlated shares, their intraday...

This article provides a new test for sphericity of the covariance matrix of a d-dimensional multinormal population X Nd. This test is applicable if the sample size, n + 1, and d both go to infinity while d/n ! y 2 (0,1), provided that the limits of tr(k)/d, k = 1, . . . , 8, are finite. The main...