Letting C i be the ith lagged sample covariance of x t, and neglecting end effects, the matrix S 0 is For the computation of S 0, the infinite sum is truncated at the value of the KLAG= option. The ...
This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle Approximating Shrinkage (OAS) of Chen et al. (2009) to target the diagonal elements of ...
X ij = [x ij1, ... , x ijp]' The Generalized Estimating Equation of Liang and Zeger (1986) for estimating the p ×1 vector of regression parameters is an extension of the independence estimating ...
Some results have been hidden because they may be inaccessible to you
Show inaccessible results