High dimensional covariance matrix estimation using multi-factor models from incomplete information

DOI10.1007/s11425-014-4961-5zbMath1325.62116OpenAlexW1982848363MaRDI QIDQ2515313

ZaiWen Wen, Fang Fang Xu, Jian Chao Huang

Publication date: 31 July 2015

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-014-4961-5

zbMATH Keywords

matrix completionalternating direction method of multipliersmulti-factor modelhigh dimensional covariance matrix estimation

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Control/observation systems with incomplete information (93C41) Fundamental topics (basic mathematics, methodology; applicable to economics in general) (91B02) Matrix completion problems (15A83)

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