Nonparametric estimation of large covariance matrices with conditional sparsity (Q2024473): Difference between revisions

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-Han Chao Wang
@@ Property / author: Han Chao Wang / rank @@
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+Han Chao Wang
@@ Property / author: Han Chao Wang / rank @@
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+factorcpt
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+MaRDI publication profile
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+https://doi.org/10.1016/j.jeconom.2020.09.002
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+W3093484827
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@@ Property / cites work @@
+Eigenvalue Ratio Test for the Number of Factors
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+Determining the Number of Factors in Approximate Factor Models
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+Simultaneous multiple change-point and factor analysis for high-dimensional time series
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+Covariance regularization by thresholding
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+Regularized estimation of large covariance matrices
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+On time-varying factor models: estimation and testing
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