Confidence regions for entries of a large precision matrix
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DOI: 10.1016/j.jeconom.2018.03.020
Abstract: We consider the statistical inference for high-dimensional precision matrices. Specifically, we propose a data-driven procedure for constructing a class of simultaneous confidence regions for a subset of the entries of a large precision matrix. The… read more here.
Keywords: entries large; confidence regions; precision; precision matrix ... See more keywords