Estimation of high-dimensional dynamic conditional precision matrices with an application to forecast combination
Sign Up to like & getrecommendations! Published in 2021 at "Econometric Reviews"
DOI: 10.1080/07474938.2021.1889208
Abstract: Abstract The estimation of a large covariance matrix is challenging when the dimension p is large relative to the sample size n. Common approaches to deal with the challenge have been based on thresholding or… read more here.
Keywords: high dimensional; forecast combination; conditional precision; precision ... See more keywords