Covariance Regression Models

Wei Lan and Chih-Ling Tsai
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Wei Lan: Southwestern University of Finance and Economics, School of Statistics and Data Science and Center of Statistical Research
Chih-Ling Tsai: University of California - Davis, Graduate School of Management

Chapter Chapter 4 in Covariance Analysis and Beyond, 2026, pp 51-66 from Springer

Abstract: Abstract We provide our main motivation for introducing covariance regression modelsCovariance regression model. Then, we present covariance regression models and study theoretical properties of regression parameter estimators. We subsequently analyze non-Gaussian covariance regressionNon-Gaussian covariance regression models and explore the covariance model with general linear structureGeneral linear structure. Finally, three empirical examples are briefly discussed.

Date: 2026
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-032-08796-6_4

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DOI: 10.1007/978-3-032-08796-6_4

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