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The banding estimator of Bickel and Levina (2008a) and its tapering version of Cai, Zhang and Zhou (2010), are important high dimensional covariance esti-mators. Both estimators require choosing a ban...
The banding estimator of Bickel and Levina (2008a) and its tapering version of Cai, Zhang and Zhou (2010), are important high dimensional covariance esti-mators. Both estimators require choosing a ban...
To better understand the spatial structure of large panels of economic and financial time series and provide a guideline for constructing semiparametric models, this paper first considers estimating a...
We obtain a sharp convergence rate for banded covariance matrix estimates of stationary processes. A precise order of magnitude is derived for spectral radius of sample covariance matrices. We also ...
The variance covariance matrix plays a central role in the inferential theories of high dimensional factor models in finance and economics. Popular regularization methods of directly exploiting spar...
In this paper we consider estimation of sparse covariance matrices and propose a thresholding procedure which is adaptive to the variability of individual entries. The estimators are fully data driven...
Estimating a covariance matrix efficiently and discovering its structure are important statistical problems with applications in many fields. This article takes a Bayesian approach to estimate the c...
High dimensionality comparable to sample size is common in many statistical problems. We examine covariance matrix estimation in the asymptotic framework that the dimensionality p tends to as the ...

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