High dimensional covariance matrix estimation using a factor model

DOI10.1016/J.JECONOM.2008.09.017zbMath1429.62185arXivmath/0701124OpenAlexW2073681337WikidataQ105583685 ScholiaQ105583685MaRDI QIDQ299275

Yingying Fan, Jinchi Lv, Jianqing Fan

Publication date: 22 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0701124

zbMATH Keywords

asymptotic propertiesportfolio managementfactor modelcovariance matrix estimationdiverging dimensionality

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Eigenvalues, singular values, and eigenvectors (15A18) Portfolio theory (91G10)

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