High-Dimensional Precision Matrix Estimation through GSOS with Application in the Foreign Exchange Market
This article studies the estimation of the precision matrix of a high-dimensional Gaussian network. We investigate the graphical selector operator with shrinkage, GSOS for short, to maximize a penalized likelihood function where the elastic net-type penalty is considered as a combination of a norm-o...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2022-11-01
|
| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/10/22/4232 |
| Summary: | This article studies the estimation of the precision matrix of a high-dimensional Gaussian network. We investigate the graphical selector operator with shrinkage, GSOS for short, to maximize a penalized likelihood function where the elastic net-type penalty is considered as a combination of a norm-one penalty and a targeted Frobenius norm penalty. Numerical illustrations demonstrate that our proposed methodology is a competitive candidate for high-dimensional precision matrix estimation compared to some existing alternatives. We demonstrate the relevance and efficiency of GSOS using a foreign exchange markets dataset and estimate dependency networks for 32 different currencies from 2018 to 2021. |
|---|---|
| ISSN: | 2227-7390 |