Bandwidth Selection for Large Covariance and Precision Matrices

IF 1.5 3区数学 Q2 STATISTICS & PROBABILITY

Statistica Sinica Pub Date : 2023-01-01 DOI:10.5705/ss.202022.0337

Xuehu Zhu, Jian Guo, Xu Guo, Lixing Zhu, Jiasen Zheng

引用次数: 1

Abstract

BANDWIDTH SELECTION FOR LARGE COVARIANCE AND PRECISION MATRICES Xuehu Zhu, Jian Guo, Xu Guo, Lixing Zhu∗3,4 and Jiasen Zheng 1 School of Mathematics and Statistics, Xi’an Jiaotong University, Xi’an, China Academy of Mathematics and Systems Science, Chinese Academy of Sciences 3 Center for Statistics and Data Science, Beijing Normal University, Zhuhai, China Department of Mathematics, Hong Kong Baptist University, Hong Kong Center for Statistical Science, Tsinghua University, Beijing, China

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大协方差和精度矩阵的带宽选择

对于具有带结构的大协方差矩阵和相应的精度矩阵，本文提出了一种识别带宽的准则。该方法基于在真带宽处不连续的目标函数，呈现出“谷-崖”模式，从而使该位置的识别可视化，易于实现。给出了用该估计带宽估计的协方差矩阵和精度矩阵的估计一致性和估计误差界。数值研究证明了该方法的有限样本有效性，并用实际数据的有效性分析进行了说明。通讯作者(L. Zhu)。邮箱:zhuxuehu@xjtu.edu.cn(朱旭)、guojian191@mails.ucas.ac.cn(郭杰)、xustat12@bnu.edu.cn(郭旭)、lzhu@hkbu.edu.hk(朱磊)、jiasen zheng@mail.tsinghua.edu.cn(郑杰)。1 .《中国统计》:新录用论文(接受作者版本，需英文编辑)

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Statistica Sinica 数学-统计学与概率论

CiteScore

2.10

自引率

0.00%

发文量

审稿时长

10.5 months

期刊介绍： Statistica Sinica aims to meet the needs of statisticians in a rapidly changing world. It provides a forum for the publication of innovative work of high quality in all areas of statistics, including theory, methodology and applications. The journal encourages the development and principled use of statistical methodology that is relevant for society, science and technology.