Efficient estimation of approximate factor models via penalized maximum likelihood (Q898581): Difference between revisions
From MaRDI portal
Set OpenAlex properties. |
Changed an Item |
||
| Property / arXiv ID | |||
| Property / arXiv ID: 1209.5911 / rank | |||
Normal rank | |||
Latest revision as of 18:42, 18 April 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient estimation of approximate factor models via penalized maximum likelihood |
scientific article |
Statements
Efficient estimation of approximate factor models via penalized maximum likelihood (English)
0 references
18 December 2015
0 references
high dimensionality
0 references
unknown factors
0 references
principal components
0 references
conditional sparse
0 references
thresholding
0 references
cross-sectional correlation
0 references
penalized maximum likelihood
0 references
adaptive LASSO
0 references
SCAD
0 references
heteroskedasticity
0 references
