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0545287 - NHU-C 2022 RIV CZ eng V - Research Report
Anatolyev, Stanislav - Pyrlik, Vladimir
Shrinkage for Gaussian and t copulas in ultra-high dimensions.
Prague: CERGE-EI, 2021. 55 s. CERGE-EI Working Paper Series, 699. ISSN 1211-3298
R&D Projects: GA ČR(CZ) GA20-28055S; GA MŠMT(CZ) SVV260611
Institutional support: Progres-Q24
Keywords : Gaussian copula * t copula * high dimensionality
OECD category: Applied Economics, Econometrics
https://www.cerge-ei.cz/pdf/wp/Wp699.pdf
Permanent Link: http://hdl.handle.net/11104/0322020