Test for Bandedness of High Dimensional Covariance Matrices with Bandwidth Estimation
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References listed on IDEAS
- James R. Schott, 2005. "Testing for complete independence in high dimensions," Biometrika, Biometrika Trust, vol. 92(4), pages 951-956, December.
- Adam J. Rothman & Elizaveta Levina & Ji Zhu, 2010. "A new approach to Cholesky-based covariance regularization in high dimensions," Biometrika, Biometrika Trust, vol. 97(3), pages 539-550.
- Bai, Z. D. & Silverstein, Jack W. & Yin, Y. Q., 1988. "A note on the largest eigenvalue of a large dimensional sample covariance matrix," Journal of Multivariate Analysis, Elsevier, vol. 26(2), pages 166-168, August.
- Rothman, Adam J. & Levina, Elizaveta & Zhu, Ji, 2009. "Generalized Thresholding of Large Covariance Matrices," Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 177-186.
- Fan, Jianqing & Fan, Yingying & Lv, Jinchi, 2008. "High dimensional covariance matrix estimation using a factor model," Journal of Econometrics, Elsevier, vol. 147(1), pages 186-197, November.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Hannart, Alexis & Naveau, Philippe, 2014. "Estimating high dimensional covariance matrices: A new look at the Gaussian conjugate framework," Journal of Multivariate Analysis, Elsevier, vol. 131(C), pages 149-162.
- Yamada, Yuki & Hyodo, Masashi & Nishiyama, Takahiro, 2017. "Testing block-diagonal covariance structure for high-dimensional data under non-normality," Journal of Multivariate Analysis, Elsevier, vol. 155(C), pages 305-316.
- Tiefeng Jiang & Yongcheng Qi, 2015. "Likelihood Ratio Tests for High-Dimensional Normal Distributions," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(4), pages 988-1009, December.
More about this item
KeywordsBanded covariance matrix; Bandwidth estimation; High data dimension; Large p; small n; Nonparametric.;
- C0 - Mathematical and Quantitative Methods - - General
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
- C7 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory
- C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs
- C9 - Mathematical and Quantitative Methods - - Design of Experiments
- G0 - Financial Economics - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2013-04-20 (Econometrics)
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