Robust covariance estimation for approximate factor models

DOI10.1016/J.JECONOM.2018.09.003zbMath1452.62410arXiv1602.00719OpenAlexW2963840025WikidataQ64119840 ScholiaQ64119840MaRDI QIDQ1739628

Yiqiao Zhong, Jianqing Fan, Wei-Chen Wang

Publication date: 26 April 2019

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

Full work available at URL: https://arxiv.org/abs/1602.00719

zbMATH Keywords

M-estimatorapproximate factor modelrobust covariance matrix

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Robustness and adaptive procedures (parametric inference) (62F35)

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Uses Software

• CVX
• glasso

Cites Work

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