Efficient estimation of approximate factor models via penalized maximum likelihood (Q898581)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient estimation of approximate factor models via penalized maximum likelihood |
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Efficient estimation of approximate factor models via penalized maximum likelihood (English)
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18 December 2015
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high dimensionality
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unknown factors
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principal components
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conditional sparse
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thresholding
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cross-sectional correlation
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penalized maximum likelihood
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adaptive LASSO
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SCAD
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heteroskedasticity
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