2 papers
stat.ME2025
Spatial weights matrix selection and model averaging for multivariate spatial autoregressive models
Xin Miao, Fang Fang, Xuening Zhu +1
In this paper, we focus on the model specification problem in multivariate spatial econometric models when a candidate set for the spatial weights matrix is available. We propose a…
stat.ME2024
Penalized Sparse Covariance Regression with High Dimensional Covariates
Yuan Gao, Zhiyuan Zhang, Zhanrui Cai +3
Covariance regression offers an effective way to model the large covariance matrix with the auxiliary similarity matrices. In this work, we propose a sparse covariance regression (…