KMS Of Academy of mathematics and systems sciences, CAS
Model averaging estimation for high-dimensional covariance matrices with a network structure | |
Zhu, Rong1; Zhang, Xinyu2; Ma, Yanyuan3; Zou, Guohua4 | |
2021 | |
发表期刊 | ECONOMETRICS JOURNAL |
ISSN | 1368-4221 |
卷号 | 24期号:1页码:177-197 |
摘要 | In this paper, we develop a model averaging method to estimate a high-dimensional covariance matrix, where the candidate models are constructed by different orders of polynomial functions. We propose a Mallows-type model averaging criterion and select the weights by minimizing this criterion, which is an unbiased estimator of the expected in-sample squared error plus a constant. Then, we prove the asymptotic optimality of the resulting model average covariance estimators. Finally, we conduct numerical simulations and a case study on Chinese airport network structure data to demonstrate the usefulness of the proposed approaches. |
关键词 | asymptotic optimality consistency covariance regression network model Mallows criterion model averaging |
DOI | 10.1093/ectj/utaa030 |
收录类别 | SCI |
语种 | 英语 |
资助项目 | National Key R&D Program of China[2020AAA0105200] ; National Natural Science Foundation of China[71925007] ; National Natural Science Foundation of China[11688101] ; National Natural Science Foundation of China[71631008] ; National Natural Science Foundation of China[11971323] ; National Natural Science Foundation of China[12031016] ; Beijing Academy of Artificial Intelligence ; Youth Innovation Promotion Association of the Chinese Academy of Sciences ; National Science Foundation ; National Institutes of Health |
WOS研究方向 | Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences |
WOS类目 | Economics ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods ; Statistics & Probability |
WOS记录号 | WOS:000638135000013 |
出版者 | OXFORD UNIV PRESS |
引用统计 | |
文献类型 | 期刊论文 |
条目标识符 | http://ir.amss.ac.cn/handle/2S8OKBNM/58458 |
专题 | 中国科学院数学与系统科学研究院 |
通讯作者 | Zhu, Rong |
作者单位 | 1.Newcastle Univ, Sch Math Stat & Phys, Newcastle Upon Tyne NE1 7RU, Tyne & Wear, England 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 3.Penn State Univ, Dept Stat, University Pk, PA 16802 USA 4.Capital Normal Univ, Sch Math Sci, Beijing 100048, Peoples R China |
推荐引用方式 GB/T 7714 | Zhu, Rong,Zhang, Xinyu,Ma, Yanyuan,et al. Model averaging estimation for high-dimensional covariance matrices with a network structure[J]. ECONOMETRICS JOURNAL,2021,24(1):177-197. |
APA | Zhu, Rong,Zhang, Xinyu,Ma, Yanyuan,&Zou, Guohua.(2021).Model averaging estimation for high-dimensional covariance matrices with a network structure.ECONOMETRICS JOURNAL,24(1),177-197. |
MLA | Zhu, Rong,et al."Model averaging estimation for high-dimensional covariance matrices with a network structure".ECONOMETRICS JOURNAL 24.1(2021):177-197. |
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