Model averaging estimation for high-dimensional covariance matrices with a network structure,The Econometrics Journal

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Model averaging estimation for high-dimensional covariance matrices with a network structure
The Econometrics Journal ( IF 2.9 ) Pub Date : 2020-09-29 , DOI: 10.1093/ectj/utaa030
Rong Zhu ₁ , Xinyu Zhang ₂ , Yanyuan Ma ₃ , Guohua Zou ₄

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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.

更新日期：2020-09-29

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