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Partial Correlation Estimation by Joint Sparse Regression Models

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  • Peng, Jie
  • Wang, Pei
  • Zhou, Nengfeng
  • Zhu, Ji

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  • Peng, Jie & Wang, Pei & Zhou, Nengfeng & Zhu, Ji, 2009. "Partial Correlation Estimation by Joint Sparse Regression Models," Journal of the American Statistical Association, American Statistical Association, vol. 104(486), pages 735-746.
  • Handle: RePEc:bes:jnlasa:v:104:i:486:y:2009:p:735-746
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    1. Horowitz, Joel L. & Lee, Sokbae, 2005. "Nonparametric Estimation of an Additive Quantile Regression Model," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 1238-1249, December.
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    6. Machado, José A.F., 1993. "Robust Model Selection and M-Estimation," Econometric Theory, Cambridge University Press, vol. 9(03), pages 478-493, June.
    7. Jianqing Fan & Qiwei Yao & Zongwu Cai, 2003. "Adaptive varying-coefficient linear models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(1), pages 57-80.
    8. Granger, C. W. J. & White, Halbert & Kamstra, Mark, 1989. "Interval forecasting : An analysis based upon ARCH-quantile estimators," Journal of Econometrics, Elsevier, vol. 40(1), pages 87-96, January.
    9. De Gooijer J.G. & Zerom D., 2003. "On Additive Conditional Quantiles With High Dimensional Covariates," Journal of the American Statistical Association, American Statistical Association, vol. 98, pages 135-146, January.
    10. Fan, Jianqing & Yao, Qiwei & Tong, Howell, 1996. "Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems," LSE Research Online Documents on Economics 6704, London School of Economics and Political Science, LSE Library.
    11. Yongmiao Hong & Tae-Hwy Lee, 2003. "Inference on Predictability of Foreign Exchange Rates via Generalized Spectrum and Nonlinear Time Series Models," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 1048-1062, November.
    12. Koenker, Roger & Bassett, Gilbert, Jr, 1982. "Robust Tests for Heteroscedasticity Based on Regression Quantiles," Econometrica, Econometric Society, vol. 50(1), pages 43-61, January.
    13. Cai, Zongwu & Fan, Jianqing & Yao, Qiwei, 2000. "Functional-coefficient regression models for nonlinear time series," LSE Research Online Documents on Economics 6314, London School of Economics and Political Science, LSE Library.
    14. Robert F. Engle & Simone Manganelli, 2004. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 367-381, October.
    15. Zongwu Cai, 2002. "A two-stage approach to additive time series models," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 56(4), pages 415-433.
    16. Koenker, Roger & Zhao, Quanshui, 1996. "Conditional Quantile Estimation and Inference for Arch Models," Econometric Theory, Cambridge University Press, vol. 12(05), pages 793-813, December.
    17. Cai, Zongwu, 2002. "Regression Quantiles For Time Series," Econometric Theory, Cambridge University Press, vol. 18(01), pages 169-192, February.
    18. Roger Koenker & Zhijie Xiao, 2004. "Unit Root Quantile Autoregression Inference," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 775-787, January.
    19. Toshio Honda, 2000. "Nonparametric Estimation of a Conditional Quantile for α-Mixing Processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 52(3), pages 459-470, September.
    20. Roger Koenker & Zhijie Xiao, 2002. "Inference on the Quantile Regression Process," Econometrica, Econometric Society, vol. 70(4), pages 1583-1612, July.
    21. Engle, Robert F & Ito, Takatoshi & Lin, Wen-Ling, 1990. "Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market," Econometrica, Econometric Society, vol. 58(3), pages 525-542, May.
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    Cited by:

    1. Natalia Bailey & M. Hashem Pesaran & L. Vanessa Smith, 2014. "A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices," CESifo Working Paper Series 4834, CESifo Group Munich.
    2. Rajaratnam, Bala & Salzman, Julia, 2013. "Best permutation analysis," Journal of Multivariate Analysis, Elsevier, vol. 121(C), pages 193-223.
    3. repec:bla:jorssc:v:66:y:2017:i:3:p:581-605 is not listed on IDEAS
    4. Anufriev, Mikhail & Panchenko, Valentyn, 2015. "Connecting the dots: Econometric methods for uncovering networks with an application to the Australian financial institutions," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 241-255.
    5. repec:eee:jmvana:v:161:y:2017:i:c:p:172-190 is not listed on IDEAS
    6. Matteo Barigozzi & Christian T. Brownlees, 2013. "Nets: Network estimation for time series," Economics Working Papers 1391, Department of Economics and Business, Universitat Pompeu Fabra.
    7. Nogales Martín, Francisco Javier & Lafit, Ginette & Zamar, Rubén, 2015. "Ranking Edges and Model Selection in High-Dimensional Graphs," DES - Working Papers. Statistics and Econometrics. WS ws1511, Universidad Carlos III de Madrid. Departamento de Estadística.
    8. Joong-Ho Won & Johan Lim & Seung-Jean Kim & Bala Rajaratnam, 2013. "Condition-number-regularized covariance estimation," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 75(3), pages 427-450, June.
    9. Chi, Eric C. & Lange, Kenneth, 2014. "Stable estimation of a covariance matrix guided by nuclear norm penalties," Computational Statistics & Data Analysis, Elsevier, vol. 80(C), pages 117-128.
    10. Tan, Kean Ming & Witten, Daniela & Shojaie, Ali, 2015. "The cluster graphical lasso for improved estimation of Gaussian graphical models," Computational Statistics & Data Analysis, Elsevier, vol. 85(C), pages 23-36.
    11. Matteo Barigozzi & Marc Hallin, 2015. "Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series," Papers 1510.05118, arXiv.org, revised Jul 2016.
    12. Ambroise Jérôme & Robert Annie & Macq Benoit & Gala Jean-Luc, 2012. "Transcriptional Network Inference from Functional Similarity and Expression Data: A Global Supervised Approach," Statistical Applications in Genetics and Molecular Biology, De Gruyter, vol. 11(1), pages 1-24, January.
    13. Natalia Bailey & Sean Holly & M. Hashem Pesaran, 2016. "A Two‐Stage Approach to Spatio‐Temporal Analysis with Strong and Weak Cross‐Sectional Dependence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(1), pages 249-280, January.
    14. Kestutis Baltakys & Juho Kanniainen & Frank Emmert-Streib, 2017. "Multilayer Aggregation with Statistical Validation: Application to Investor Networks," Papers 1708.09850, arXiv.org, revised Feb 2018.
    15. Yin, Jianxin & Li, Hongzhe, 2013. "Adjusting for high-dimensional covariates in sparse precision matrix estimation by ℓ1-penalization," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 365-381.
    16. repec:bla:jorssb:v:79:y:2017:i:2:p:405-421 is not listed on IDEAS
    17. Luo, Shan & Chen, Zehua, 2014. "Edge detection in sparse Gaussian graphical models," Computational Statistics & Data Analysis, Elsevier, vol. 70(C), pages 138-152.
    18. Lee, Wonyul & Liu, Yufeng, 2012. "Simultaneous multiple response regression and inverse covariance matrix estimation via penalized Gaussian maximum likelihood," Journal of Multivariate Analysis, Elsevier, vol. 111(C), pages 241-255.

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