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...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-04-01
|
| Series: | Entropy |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1099-4300/22/4/456 |