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Applications of Peter Hall's martingale limit theory to estimating and testing high dimensional covariance matrices
Danning Li, Lingzhou Xue,
Hui Zou
Statistics (Twin Cities)
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peer-review
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Business & Economics
Martingale
Covariance Matrix
Testing
Central Limit Theorem
Covariance Matrix Estimation
U-statistics
Estimation Risk
Probability Theory
Information Criterion
Optimality
Statistics
Alternatives
Mathematics
Martingale
Covariance matrix
High-dimensional
Testing
Covariance Matrix Estimation
Information Criterion
U-statistics
Probability Theory
Central limit theorem
Optimality
Statistics
Alternatives