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Parsimonious Covariance Matrix Estimation for Longitudinal Data

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Author Info
Smith M.
Kohn R.

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Abstract

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File URL: http://www.ingentaconnect.com/content/asa/jasa/2002/00000097/00000460/art00018
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Publisher Info
Article provided by American Statistical Association in its journal Journal of the American Statistical Association.

Volume (Year): 97 (2002)
Issue (Month): (December)
Pages: 1141-1153
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Handle: RePEc:bes:jnlasa:v:97:y:2002:m:december:p:1141-1153

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  1. Peter Bickel & Bo Li & Alexandre Tsybakov & Sara Geer & Bin Yu & Teófilo Valdés & Carlos Rivero & Jianqing Fan & Aad Vaart, 2006. "Regularization in statistics," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 15(2), pages 271-344, September. [Downloadable!] (restricted)
  2. W.E. Griffiths & Ma. Rebecca Valenzuela, 2004. "Gibbs Samplers for a Set of Seemingly Unrelated Regressions," Department of Economics - Working Papers Series 912, The University of Melbourne. [Downloadable!]
  3. Robert Kohn & Rachida Ouysse, 2007. "Bayesian Variable Selection of Risk Factors in the APT Model," Discussion Papers 2007-32, School of Economics, The University of New South Wales. [Downloadable!]
  4. Helen Armstrong & Christopher K. Carter & Kevin K. F. Wong & Robert Kohn, 2007. "Bayesian Covariance Matrix Estimation using a Mixture of Decomposable Graphical Models," Discussion Papers 2007-13, School of Economics, The University of New South Wales. [Downloadable!]
  5. Massimiliano De Santis, 2005. "Movements in the Equity Premium: Evidence from a Bayesian Time-Varying VAR," Money Macro and Finance (MMF) Research Group Conference 2005 62, Money Macro and Finance Research Group. [Downloadable!]
  6. Massimiliano De Santis, 2007. "Movements in the Equity Premium: Evidence from a Time-Varying VAR," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 11(4). [Downloadable!]
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