Supplementary appendix to: A multiple testing approach to the regularisation of large sample correlation matrices
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چکیده
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A multiple testing approach to the regularisation of large sample correlation matrices
This paper proposes a regularisation method for the estimation of large covariance matrices that uses insights from the multiple testing (MT ) literature. The approach tests the statistical signi cance of individual pair-wise correlations and sets to zero those elements that are not statistically signi cant, taking account of the multiple testing nature of the problem. By using the inverse of t...
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تاریخ انتشار 2015