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De-Biased Graphical Lasso for High-Frequency Data
This paper develops a new statistical inference theory for the precision matrix of high-frequency data in a high-dimensional setting. The focus is not only on point estimation but also on interval estimation and hypothesis testing for entries of the precision matrix. To accomplish this purpose, we e...
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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MDPI
2020
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7516938/ https://www.ncbi.nlm.nih.gov/pubmed/33286230 http://dx.doi.org/10.3390/e22040456 |