Efficient estimation of approximate factor models via penalized maximum likelihood (Q898581): Difference between revisions

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+Improved penalization for determining the number of factors in approximate factor models
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+The DC (Difference of convex functions) programming and DCA revisited with DC models of real world nonconvex optimization problems
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+Inferential Theory for Factor Models of Large Dimensions
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+Statistical analysis of factor models of high dimension
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+Determining the Number of Factors in Approximate Factor Models
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+Covariance regularization by thresholding
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+Sparse estimation of a covariance matrix
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+GLS Estimation of Dynamic Factor Models
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+EFFICIENT ESTIMATION OF FACTOR MODELS
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+Determining the number of global and country-specific factors in the euro area
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+A two-step estimator for large approximate dynamic factor models based on Kalman filtering
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+Spectrum estimation for large dimensional covariance matrices using random matrix theory
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+High dimensional covariance matrix estimation using a factor model
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+Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
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+High-dimensional covariance matrix estimation in approximate factor models
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+Large Covariance Estimation by Thresholding Principal Orthogonal Complements
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+The Generalized Dynamic Factor Model
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+Sparse inverse covariance estimation with the graphical lasso
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+Determining the Number of Factors in the General Dynamic Factor Model
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+PCA consistency in high dimension, low sample size context
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+A Testing Procedure for Determining the Number of Factors in Approximate Factor Models With Large Datasets
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+Sparsistency and rates of convergence in large covariance matrix estimation
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+Factor modeling for high-dimensional time series: inference for the number of factors
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+Nonlinear shrinkage estimation of large-dimensional covariance matrices
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+Consistent Estimates Based on Partially Consistent Observations
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+Asymptotics of the principal components estimator of large factor models with weakly influential factors
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+Posterior contraction in sparse Bayesian factor models for massive covariance matrices
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+High-dimensional covariance estimation by minimizing \(\ell _{1}\)-penalized log-determinant divergence
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+Estimation of high-dimensional low-rank matrices
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+Positive definite estimators of large covariance matrices
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+Sparse permutation invariant covariance estimation
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+Forecasting Using Principal Components From a Large Number of Predictors
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+Constrained Factor Models
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+The adaptive and the thresholded Lasso for potentially misspecified models (and a lower bound for the Lasso)
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+A penalized matrix decomposition, with applications to sparse principal components and canonical correlation analysis
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+Positive-Definite ℓ<sub>1</sub>-Penalized Estimation of Large Covariance Matrices
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+High-dimensional covariance estimation based on Gaussian graphical models
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+The Adaptive Lasso and Its Oracle Properties
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