High dimensional covariance matrix estimation using a factor model (Q299275): Difference between revisions

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+math/0701124
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+Inferential Theory for Factor Models of Large Dimensions
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+Regularized estimation of large covariance matrices
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+Q4230831
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+Funds, Factors, and Diversification in Arbitrage Pricing Models
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+Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
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+Covariance matrix selection and estimation via penalised  normal likelihood
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+A well-conditioned estimator for large-dimensional covariance matrices
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+Efficient estimation of covariance selection models
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