An overview of the estimation of large covariance and precision matrices
Work
Year: 2016
Type: article
Abstract: The estimation of large covariance and precision matrices is fundamental in modern multivariate analysis. However, problems arise from the statistical analysis of large panel economic and financial da... more
Source: Econometrics Journal
Authors Jianqing Fan, Yuan Liao, Han Liu
Cites: 129
Cited by: 347
Related to: 10
FWCI: 27.1
Citation percentile (by year/subfield): 99.98
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Sustainable Development Goal Decent work and economic growth
Open Access status: green