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An overview of the estimation of large covariance and precision matrices

Jianqing Fan Yuan Liao Han Liu

History and Overview mathscidoc:1912.43287

The Econometrics Journal, 19, (1), C1-C32
The estimation of large covariance and precision matrices is fundamental in modern multivariate analysis. However, problems arise from the statistical analysis of large panel economic and financial data. The covariance matrix reveals marginal correlations between variables, while the precision matrix encodes conditional correlations between pairs of variables given the remaining variables. In this paper, we provide a selective review of several recent developments on the estimation of large covariance and precision matrices. We focus on two general approaches: a rankbased method and a factormodelbased method. Theories and applications of both approaches are presented. These methods are expected to be widely applicable to the analysis of economic and financial data.
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@inproceedings{jianqingan,
  title={An overview of the estimation of large covariance and precision matrices},
  author={Jianqing Fan, Yuan Liao, and Han Liu},
  url={http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20191221113510096328847},
  booktitle={The Econometrics Journal},
  volume={19},
  number={1},
  pages={C1-C32},
}
Jianqing Fan, Yuan Liao, and Han Liu. An overview of the estimation of large covariance and precision matrices. Vol. 19. In The Econometrics Journal. pp.C1-C32. http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20191221113510096328847.
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