Nonparametric estimation of large covariance matrices with conditional sparsity
Hanchao Wang, Bin Peng, Degui Li, Chenlei Leng
Topics & Concepts
CovarianceMathematicsConsistency (knowledge bases)Applied mathematicsCovariance matrixKernel (algebra)Estimation of covariance matricesConvergence (economics)Nonparametric statisticsConditional varianceRate of convergenceFactor analysisMathematical optimizationAlgorithmStatisticsComputer scienceEconometricsAutoregressive conditional heteroskedasticityEconomicsGeometryEconomic growthVolatility (finance)Computer networkChannel (broadcasting)CombinatoricsStatistical Methods and InferenceStatistical Methods and Bayesian InferenceFinancial Risk and Volatility Modeling