Robust estimation of time-dependent precision matrix with application to the cryptocurrency market
Most financial signals show time dependency that, combined with noisy and extreme events, poses serious problems in the parameter estimations of statistical models. Moreover, when addressing asset pricing, portfolio selection, and investment strategies, accurate estimates of the relationship among assets are as necessary as are delicate in a time-dependent context. In this regard, fundamental tools that increasingly attract research interests are precision matrix and graphical models, which are able to obtain insights into the joint evolution of financial quantities.