High-dimensional covariance matrix estimation in approximate factor models (Q450002): Difference between revisions

@@ Property / author @@
-Jianqing Fan
@@ Property / author: Jianqing Fan / rank @@
-Normal rank
@@ Property / author @@
-Yuan Liao
@@ Property / author: Yuan Liao / rank @@
-Normal rank
@@ Property / author @@
+Yuan Liao
@@ Property / author: Yuan Liao / rank @@
+Normal rank
@@ Property / author @@
+Jianqing Fan
@@ Property / author: Jianqing Fan / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+H25
@@ Property / Mathematics Subject Classification ID: 62H25 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+H12
@@ Property / Mathematics Subject Classification ID: 62H12 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+F12
@@ Property / Mathematics Subject Classification ID: 62F12 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6075599
@@ Property / zbMATH DE Number: 6075599 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+sparse estimation
@@ Property / zbMATH Keywords: sparse estimation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+thresholding
@@ Property / zbMATH Keywords: thresholding / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+cross-sectional correlations
@@ Property / zbMATH Keywords: cross-sectional correlations / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+common factors
@@ Property / zbMATH Keywords: common factors / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+idiosyncratic
@@ Property / zbMATH Keywords: idiosyncratic / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+seemingly unrelated regression
@@ Property / zbMATH Keywords: seemingly unrelated regression / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / Wikidata QID @@
+Q35997070
@@ Property / Wikidata QID: Q35997070 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.4292
@@ Property / arXiv ID: 1105.4292 / rank @@
+Normal rank
@@ Property / cites work @@
+Regularization of Wavelet Approximations
@@ Property / cites work: Regularization of Wavelet Approximations / rank @@
+Normal rank
@@ Property / cites work @@
+Inferential Theory for Factor Models of Large Dimensions
+Normal rank
@@ Property / cites work @@
+Determining the Number of Factors in Approximate Factor Models
+Normal rank
@@ Property / cites work @@
+Covariance regularization by thresholding
@@ Property / cites work: Covariance regularization by thresholding / rank @@
+Normal rank
@@ Property / cites work @@
+Regularized estimation of large covariance matrices
+Normal rank
@@ Property / cites work @@
+Adaptive Thresholding for Sparse Covariance Matrix Estimation
+Normal rank
@@ Property / cites work @@
+Optimal rates of convergence for covariance matrix estimation
+Normal rank
@@ Property / cites work @@
+Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
+Normal rank
@@ Property / cites work @@
+High dimensional covariance matrix estimation using a factor model
+Normal rank
@@ Property / cites work @@
+Q3185327
@@ Property / cites work: Q3185327 / rank @@
+Normal rank
@@ Property / cites work @@
+Sparsistency and rates of convergence in large covariance matrix estimation
+Normal rank
@@ Property / cites work @@
+Bernstein inequality and moderate deviations under strong mixing conditions
+Normal rank
@@ Property / cites work @@
+Generalized Thresholding of Large Covariance Matrices
+Normal rank
@@ Property / cites work @@
+An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:450002