High dimensional covariance matrix estimation using a factor model (Q299275): Difference between revisions
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| Property / author | |||
| Property / author: Jianqing Fan / rank | |||
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| Property / author: Jianqing Fan / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 62H12 / rank | |||
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| Property / Mathematics Subject Classification ID: 62F12 / rank | |||
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| Property / Mathematics Subject Classification ID: 62H25 / rank | |||
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| Property / Mathematics Subject Classification ID: 15A18 / rank | |||
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| Property / Mathematics Subject Classification ID: 62P05 / rank | |||
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| Property / Mathematics Subject Classification ID: 91G10 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6596553 / rank | |||
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| Property / zbMATH Keywords | |||
factor model | |||
| Property / zbMATH Keywords: factor model / rank | |||
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diverging dimensionality | |||
| Property / zbMATH Keywords: diverging dimensionality / rank | |||
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| Property / zbMATH Keywords | |||
covariance matrix estimation | |||
| Property / zbMATH Keywords: covariance matrix estimation / rank | |||
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| Property / zbMATH Keywords | |||
asymptotic properties | |||
| Property / zbMATH Keywords: asymptotic properties / rank | |||
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portfolio management | |||
| Property / zbMATH Keywords: portfolio management / rank | |||
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| Property / Wikidata QID: Q105583685 / rank | |||
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| Property / MaRDI profile type: MaRDI publication profile / rank | |||
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| Property / OpenAlex ID: W2073681337 / rank | |||
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| Property / arXiv ID: math/0701124 / rank | |||
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Latest revision as of 13:13, 18 April 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | High dimensional covariance matrix estimation using a factor model |
scientific article |
Statements
High dimensional covariance matrix estimation using a factor model (English)
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22 June 2016
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factor model
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diverging dimensionality
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covariance matrix estimation
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asymptotic properties
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portfolio management
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