Confidence regions for entries of a large precision matrix
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DOI: 10.1016/j.jeconom.2018.03.020
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More about this item
Keywords
Bias correction; Dependent data; High dimensionality; Kernel estimation; Parametric bootstrap; Precision matrix;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
Statistics
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