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

@@ Property / author @@
-Jianqing Fan
@@ Property / author: Jianqing Fan / rank @@
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@@ Property / author @@
+Jianqing Fan
@@ Property / author: Jianqing Fan / rank @@
+Normal rank
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+Q105583685
@@ Property / Wikidata QID: Q105583685 / rank @@
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+math/0701124
@@ Property / arXiv ID: math/0701124 / rank @@
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@@ Property / cites work @@
+Inferential Theory for Factor Models of Large Dimensions
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@@ Property / cites work @@
+Regularized estimation of large covariance matrices
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@@ Property / cites work @@
+Q4230831
@@ Property / cites work: Q4230831 / rank @@
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@@ Property / cites work @@
+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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@@ Property / cites work @@
+Q4794153
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@@ Property / cites work @@
+The asymptotic distribution of singular values with applications to canonical correlations and correspondence analysis
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@@ Property / cites work @@
+Common risk factors in the returns on stocks and bonds
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+A selective overview of nonparametric methods in financial econometrics
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@@ Property / cites work @@
+Robust Portfolio Selection Problems
@@ Property / cites work: Robust Portfolio Selection Problems / rank @@
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@@ Property / cites work @@
+Q3998992
@@ Property / cites work: Q3998992 / rank @@
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@@ Property / cites work @@
+Covariance matrix selection and estimation via penalised  normal likelihood
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@@ Property / cites work @@
+Q3185327
@@ Property / cites work: Q3185327 / rank @@
+Normal rank
@@ Property / cites work @@
+On the distribution of the largest eigenvalue in principal components analysis
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@@ Property / cites work @@
+A well-conditioned estimator for large-dimensional covariance matrices
+Normal rank
@@ Property / cites work @@
+Q3723503
@@ Property / cites work: Q3723503 / rank @@
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@@ Property / cites work @@
+Efficient estimation of covariance selection models
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@@ links / mardi / name / links / mardi / name @@
+Publication:299275