Covariance Model with General Linear Structure and Divergent Parameters-Reference-Cited by-同舟云学术

Covariance Model with General Linear Structure and Divergent Parameters

Published:2022-11-28 Issue: Volume: Page:1-13
ISSN:0735-0015
Container-title:Journal of Business & Economic Statistics
language:en
Short-container-title:Journal of Business & Economic Statistics

Author:

Fan Xinyan¹,Lan Wei²,Zou Tao³,Tsai Chih-Ling⁴

Affiliation:

1. Center for Applied Statistics and School of Statistics, Renmin University of China, Beijing, China

2. School of Statistics and Center of Statistical Research, Southwestern University of Finance and Economics, Chengdu, China

3. Research School of Finance, Actuarial Studies & Statistics, Australian National University, Canberra, Australia

4. Graduate School of Management, University of California, Davis, Davis, CA

Funder

National Natural Science Foundation of China

Public Computing Cloud, Renmin University of China

Joint Lab of Data Science and Business Intelligence at Southwestern University of Finance and Economics, and the Fundamental Research Funds for the Central Universities

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/07350015.2022.2142593

Reference57 articles.

1. A note on the Hanson-Wright inequality for random vectors with dependencies

2. Asymptotically Efficient Estimation of Covariance Matrices with Linear Structure

3. Determining the Number of Factors in Approximate Factor Models

4. Eigen structure of a new class of covariance and inverse covariance matrices

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