Pivotal variable detection of the covariance matrix and its application to high-dimensional factor models (Q1704016): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pivotal variable detection of the covariance matrix and its application to high-dimensional factor models |
scientific article |
Statements
Pivotal variable detection of the covariance matrix and its application to high-dimensional factor models (English)
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8 March 2018
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covariance matrix estimation
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factor model
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principal component analysis
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pivotal variable detection
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row sparsity
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ultra-high dimension
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