Model averaging estimation for high-dimensional covariance matrices with a network structure

Zhu, R; Zhang, XY; Ma, YY; Zou, GH

Zhu, R (corresponding author), Newcastle Univ, Sch Math Stat & Phys, Newcastle Upon Tyne NE1 7RU, Tyne & Wear, England.

ECONOMETRICS JOURNAL, 2021; 24 (1): 177

Abstract

In this paper, we develop a model averaging method to estimate a high-dimensional covariance matrix, where the candidate models are constructed by dif......

Full Text Link