Pivotal variable detection of the covariance matrix and its application to high-dimensional factor models (Q1704016): Difference between revisions

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+Noisy matrix decomposition via convex relaxation: optimal rates in high dimensions
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+Inferential Theory for Factor Models of Large Dimensions
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+Statistical analysis of factor models of high dimension
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+Determining the Number of Factors in Approximate Factor Models
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+Adaptive Thresholding for Sparse Covariance Matrix Estimation
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+Latent variable graphical model selection via convex optimization
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+High-dimensional covariance matrix estimation in approximate factor models
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+Adjusting batch effects in microarray expression data using empirical Bayes methods
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+High-dimensional covariance estimation by minimizing \(\ell _{1}\)-penalized log-determinant divergence
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+Generalized Thresholding of Large Covariance Matrices
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+Forecasting Using Principal Components From a Large Number of Predictors
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+Spectral norm of products of random and deterministic matrices
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+Consistently determining the number of factors in multivariate volatility modelling
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