High dimensional covariance matrix estimation using a factor model (Q299275): Difference between revisions
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Property / Mathematics Subject Classification ID: 62H12 / rank | |||
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Property / Mathematics Subject Classification ID: 91G10 / rank | |||
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Property / zbMATH DE Number: 6596553 / rank | |||
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factor model | |||
Property / zbMATH Keywords: factor model / rank | |||
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diverging dimensionality | |||
Property / zbMATH Keywords: diverging dimensionality / rank | |||
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covariance matrix estimation | |||
Property / zbMATH Keywords: covariance matrix estimation / rank | |||
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asymptotic properties | |||
Property / zbMATH Keywords: asymptotic properties / rank | |||
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portfolio management | |||
Property / zbMATH Keywords: portfolio management / rank | |||
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Revision as of 21:33, 27 June 2023
scientific article
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English | High dimensional covariance matrix estimation using a factor model |
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High dimensional covariance matrix estimation using a factor model (English)
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22 June 2016
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factor model
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diverging dimensionality
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covariance matrix estimation
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asymptotic properties
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portfolio management
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