On the penalized maximum likelihood estimation of high-dimensional approximate factor model (Q2418076)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the penalized maximum likelihood estimation of high-dimensional approximate factor model |
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On the penalized maximum likelihood estimation of high-dimensional approximate factor model (English)
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3 June 2019
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error covariance matrix
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positive definiteness
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EM precedure
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accelerated proximal gradient algorithm
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