Model averaging estimation for high-dimensional covariance matrices with a network structure

doi:10.1093/ectj/utaa030

	Model averaging estimation for high-dimensional covariance matrices with a network structure
	Zhu, Rong 1; Zhang, Xinyu 4; Ma, Yanyuan 3; Zou, Guohua 2
刊名	ECONOMETRICS JOURNAL
	2021
卷号	24 期号:1 页码:177-197
关键词	asymptotic optimality consistency covariance regression network model Mallows criterion model averaging
ISSN号	1368-4221
DOI	10.1093/ectj/utaa030
英文摘要	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.
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
语种	英语
出版者	OXFORD UNIV PRESS
WOS记录号	WOS:000638135000013
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/58457]
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.Capital Normal Univ, Sch Math Sci, Beijing 100048, Peoples R China 3.Penn State Univ, Dept Stat, University Pk, PA 16802 USA 4.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, 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.