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 ,Access to full-text not allowed by authors
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