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math.ST2019
Estimation of the Kronecker Covariance Model by Quadratic Form
Oliver B. Linton, Haihan Tang
We propose a new estimator, the quadratic form estimator, of the Kronecker product model for covariance matrices. We show that this estimator has good properties in the large dimen…
math.ST2018
Supplementary Material for "Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case"
Christian M. Hafner, Oliver B. Linton, Haihan Tang
Supplementary Material for "Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case"