High-dimensional covariance matrix estimation in approximate factor models

DOI10.1214/11-AOS944zbMath1246.62151arXiv1105.4292OpenAlexW3098826229WikidataQ35997070 ScholiaQ35997070MaRDI QIDQ450002

Martina Mincheva, Yuan Liao, Jianqing Fan

Publication date: 3 September 2012

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1105.4292

zbMATH Keywords

thresholding sparse estimation common factors seemingly unrelated regression cross-sectional correlations idiosyncratic

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12)

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