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Confidence regions for entries of a large precision matrix
Work
Year: 2018
Type: article
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... more
Source: Journal of Econometrics
Authors Jinyuan Chang, Yumou Qiu, Qiwei Yao, Tao Zou
Institutions Southwestern University of Finance and Economics, University of Nebraska–Lincoln, London School of Economics and Political Science, Australian National University
Cites: 59
Cited by: 37
Related to: 10
FWCI: 2.712
Citation percentile (by year/subfield): 99.98
Topic: Advanced Statistical Methods and Models
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Sustainable Development Goal Peace, justice, and strong institutions
Open Access status: hybrid
APC paid (est): $2,260
Funders Australian Government, National Natural Science Foundation of China, Engineering and Physical Sciences Research Council, Fok Ying Tong Education Foundation, Fundamental Research Funds for the Central Universities +1 more