Mathematics, Volume (10), No (22), Year (2022-11) , Pages (4232-4232)

Title : ( High-Dimensional Precision Matrix Estimation through GSOS with Application in the Foreign Exchange Market )

Authors: A. Kheyri , A. Bekker , Mohammad Arashi ,

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Abstract

This article studies the estimation of the precision matrix of a high-dimensional Gaussian network. We investigate the graphical selector operator with shrinkage, GSOS for short, to maximize a penalized likelihood function where the elastic net-type penalty is considered as a combination of a norm-one penalty and a targeted Frobenius norm penalty. Numerical illustrations demonstrate that our proposed methodology is a competitive candidate for high-dimensional precision matrix estimation compared to some existing alternatives. We demonstrate the relevance and efficiency of GSOS using a foreign exchange markets dataset and estimate dependency networks for 32 different currencies from 2018 to 2021

Keywords

, exchange rate; Gaussian graphical model; graphical elastic net; high, penalized log, likelihood; precision matrix estimation; ridge estimation