Bandwidth Selection for Large Covariance and Precision Matrices

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY Accounts of Chemical Research 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)

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.

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