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

Rong Zhu, Xinyu Zhang, Yanyuan Ma and Guohua Zou

The Econometrics Journal, 2021, vol. 24, issue 1, 177-197

Abstract: SummaryIn 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.

Keywords: asymptotic optimality; consistency; covariance regression network model; Mallows criterion; model averaging (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:oup:emjrnl:v:24:y:2021:i:1:p:177-197.

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