Chenlei Leng

University of Warwick - Department of Statistics

Coventry, CV47AL

United Kingdom

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Nonparametric Estimation of Large Covariance Matrices with Conditional Sparsity

Number of pages: 58 Posted: 30 Jan 2020
Hanchao Wang, Bin Peng, Degui Li and Chenlei Leng
Zhejiang University - College of Economics, Monash University - Department of Econometrics and Business Statistics, University of York and University of Warwick - Department of Statistics
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Abstract:

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Approximate Factor Model, Kernel Estimation, Large Covariance Matrix, Sparsity, Uniform Convergence