Large Covariance Estimation by Thresholding Principal Orthogonal Complements (Q5743151): Difference between revisions

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Latest revision as of 04:38, 19 July 2024

scientific article; zbMATH DE number 7052657
Language Label Description Also known as
English
Large Covariance Estimation by Thresholding Principal Orthogonal Complements
scientific article; zbMATH DE number 7052657

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    Large Covariance Estimation by Thresholding Principal Orthogonal Complements (English)
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    9 May 2019
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    approximate factor model
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    cross-sectional correlation
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    diverging eigenvalues
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    high dimensionality
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    low rank matrix
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    principal components
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    sparse matrix
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    thresholding
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    unknown factors
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