Pivotal variable detection of the covariance matrix and its application to high-dimensional factor models (Q1704016)
From MaRDI portal
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)
0 references
8 March 2018
0 references
covariance matrix estimation
0 references
factor model
0 references
principal component analysis
0 references
pivotal variable detection
0 references
row sparsity
0 references
ultra-high dimension
0 references
