Sparsistent filtering of comovement networks from high-dimensional data

نویسندگان

چکیده

Network filtering is a technique to isolate core subnetworks of large and complex interconnected systems, which has recently found many applications in financial, biological, physical technological networks among others. We introduce new filter dimensional arising out dynamical behavior the constituent nodes, exploiting their spectral properties. As opposed well known network filters that rely on preserving key topological properties realized network, our method treats spectrum as fundamental object preserves Applying asymptotic theory high-dimensional covariance matrix estimation, we show proposed can be tuned interpolate between zero maximal induces sparsity via thresholding, while having least distance from consistent (non-)linear shrinkage estimator. demonstrate application by applying it constructed financial data, extract embedded full networks.

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ژورنال

عنوان ژورنال: Journal of Computational Science

سال: 2022

ISSN: ['1877-7511', '1877-7503']

DOI: https://doi.org/10.1016/j.jocs.2022.101902