A multiple testing approach to the regularisation of large sample correlation matrices

@inproceedings{Bailey2014AMT,
  title={A multiple testing approach to the regularisation of large sample correlation matrices},
  author={Natalia Bailey},
  year={2014}
}
This paper proposes a regularisation method for the estimation of large covariance matrices that uses insights from the multiple testing (MT ) literature. The approach tests the statistical signi…cance of individual pair-wise correlations and sets to zero those elements that are not statistically signi…cant, taking account of the multiple testing nature of the problem. By using the inverse of the normal distribution at a predetermined signi…cance level, it circumvents the challenge of… CONTINUE READING