{"doi":"10.1093/ectj/utaa030","title":"Model averaging estimation for high-dimensional covariance matrices with a network structure","abstract":"In this paper, we develop a model averaging method to estimate a high-dimensional covariance matrix, where the candidate models are constructed by different orders of polynomial functions. We propose a Mallows-type model averaging criterion and select the weights by minimizing this criterion, which is an unbiased estimator of the expected in-sample squared error plus a constant. Then, we prove the asymptotic optimality of the resulting model average covariance estimators. Finally, we conduct numerical simulations and a case study on Chinese airport network structure data to demonstrate the usefulness of the proposed approaches.","journal":"Econometrics Journal","year":2020,"id":109073,"datarank":0.0,"base_score":0.0,"endowment":0.0,"self_citation_contribution":0.0,"citation_network_contribution":0.0,"self_endowment_contribution":0.0,"citer_contribution":0.0,"corpus_percentile":null,"corpus_rank":null,"citation_count":3,"citer_count":0,"citers_with_citation_signal":0,"citers_with_endowment":0,"datacite_reuse_total":0,"is_dataset":false,"is_dataset_confidence":0.9545,"is_data_producer":false,"deposit_databanks":null,"is_oa":true,"file_count":0,"downloads":0,"has_version_chain":false,"published_date":"2020-01-01","fair_score":null,"fair_percentile":null,"algorithm_id":"datarank_citation_only_1hop_v6","ranking_scope":"data_only","authors":[{"id":521134,"name":"Xinyu Zhang","orcid":"0000-0002-9044-1410","position":1,"is_corresponding":false},{"id":432021,"name":"Yanyuan Ma","orcid":"0000-0001-6985-0351","position":2,"is_corresponding":false},{"id":521135,"name":"Guohua Zou","orcid":"0000-0002-5534-0913","position":3,"is_corresponding":false},{"id":521133,"name":"Rong Zhu","orcid":"0000-0003-4019-8587","position":0,"is_corresponding":true}],"reference_count":34,"raw_metadata":null,"created_at":"2026-07-18T23:12:46.854423Z","pmid":"33746562","pmcid":null,"fwci":null,"citation_percentile":null,"influential_citations":0,"oa_status":null,"license":null,"views":0,"total_file_size_bytes":0,"version_count":0,"fair_f":null,"fair_a":null,"fair_i":null,"fair_r":null,"fair_zscore":null,"fair_rationale":null,"fair_model":null,"fair_agent_version":null,"fair_fulltext_source":null,"fair_has_llm":null,"fair_computed_at":null,"clinical_trials":[],"software_tools":[],"db_accessions":[],"linked_datasets":[],"topics":[]}