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

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+Regularization of Wavelet Approximations
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+Inferential Theory for Factor Models of Large Dimensions
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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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+Regularized estimation of large covariance matrices
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+Adaptive Thresholding for Sparse Covariance Matrix Estimation
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+Optimal rates of convergence for covariance matrix estimation
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+Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
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+High dimensional covariance matrix estimation using a factor model
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+Q3185327
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+Sparsistency and rates of convergence in large covariance matrix estimation
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+Bernstein inequality and moderate deviations under strong mixing conditions
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+Generalized Thresholding of Large Covariance Matrices
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+An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
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+W3098826229
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+Normal rank