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Nonparametric estimation of large covariance matrices with conditional sparsity
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Wang, Hanchao, Peng, Bin, Li, Degui and Leng, Chenlei (2021) Nonparametric estimation of large covariance matrices with conditional sparsity. Journal of Econometrics, 223 (1). pp. 53-72. doi:10.1016/j.jeconom.2020.09.002 ISSN 0304-4076.
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WRAP-Nonparametric-estimation-large-covariance-matrices-conditional-sparsity-2021.pdf - Accepted Version - Requires a PDF viewer. Available under License Creative Commons Attribution Non-commercial No Derivatives 4.0. Download (899Kb) | Preview |
Official URL: http://dx.doi.org/10.1016/j.jeconom.2020.09.002
Abstract
This paper studies estimation of covariance matrices with conditional sparse structure. We overcome the challenge of estimating dense matrices using a factor structure, the challenge of estimating large-dimensional matrices by postulating sparsity on covariance of random noises, and the challenge of estimating varying matrices by allowing factor loadings to smoothly change. A kernel-weighted estimation approach combined with generalised shrinkage is proposed. Under some technical conditions, we derive uniform consistency for the developed estimation method and obtain convergence rates. Numerical studies including simulation and an empirical application are presented to examine the finite-sample performance of the developed methodology.
Item Type: | Journal Article | |||||||||||||||||||||
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Subjects: | Q Science > QA Mathematics | |||||||||||||||||||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | |||||||||||||||||||||
Library of Congress Subject Headings (LCSH): | Analysis of covariance , Multivariate analysis, Approximation theory, Kernel functions, Sparse matrices, Uniform distribution (Probability theory) | |||||||||||||||||||||
Journal or Publication Title: | Journal of Econometrics | |||||||||||||||||||||
Publisher: | Elsevier BV * North-Holland | |||||||||||||||||||||
ISSN: | 0304-4076 | |||||||||||||||||||||
Official Date: | July 2021 | |||||||||||||||||||||
Dates: |
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Volume: | 223 | |||||||||||||||||||||
Number: | 1 | |||||||||||||||||||||
Page Range: | pp. 53-72 | |||||||||||||||||||||
DOI: | 10.1016/j.jeconom.2020.09.002 | |||||||||||||||||||||
Status: | Peer Reviewed | |||||||||||||||||||||
Publication Status: | Published | |||||||||||||||||||||
Access rights to Published version: | Restricted or Subscription Access | |||||||||||||||||||||
Date of first compliant deposit: | 11 January 2021 | |||||||||||||||||||||
Date of first compliant Open Access: | 23 October 2022 | |||||||||||||||||||||
RIOXX Funder/Project Grant: |
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