Testing super-diagonal structure in high dimensional covariance matrices

Jing He; Song Xi Chen

doi:10.1016/j.jeconom.2016.05.007

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Testing super-diagonal structure in high dimensional covariance matrices

Jing He Song Xi Chen

Year: 2016 Journal: Journal of Econometrics Vol: 194 (2)Pages: 283-297 Publisher: Elsevier BV

DOI: 10.1016/j.jeconom.2016.05.007

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Keywords:

Covariance matrix Covariance Estimation of covariance matrices Covariance function Law of total covariance Mathematics Covariance mapping Statistical hypothesis testing Matérn covariance function Curse of dimensionality Covariance intersection Parametric statistics Diagonal Rational quadratic covariance function CMA-ES Econometrics Computer science Statistics

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Spatial and Panel Data Analysis

Social Sciences → Economics, Econometrics and Finance → Economics and Econometrics

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Testing super-diagonal structure in high dimensional covariance matrices

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