Sparsistency and rates of convergence in large covariance matrix estimation
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References listed on IDEAS
- Smith M. & Kohn R., 2002. "Parsimonious Covariance Matrix Estimation for Longitudinal Data," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 1141-1153, December.
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More about this item
Keywords
Covariance matrix; high dimensionality; consistency; nonconcave penalized likelihood; sparsistency; asymptotic normality;All these keywords.
JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
Statistics
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