Estimation of large covariance matrices with mixed factor structures
From MaRDI portal
Cites work
- A diagnostic criterion for approximate factor structure
- A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
- A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables
- A well-conditioned estimator for large-dimensional covariance matrices
- Adaptive thresholding for sparse covariance matrix estimation
- Bridging factor and sparse models
- Covariance regularization by thresholding
- Determining the Number of Factors in Approximate Factor Models
- Dynamic linear panel regression models with interactive fixed effects
- Eigenvalue ratio test for the number of factors
- Estimating latent asset-pricing factors
- Estimation of latent factors for high-dimensional time series
- Estimation of Sparsity-Induced Weak Factor Models
- Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
- Generalized thresholding of large covariance matrices
- High dimensional covariance matrix estimation using a factor model
- High dimensional minimum variance portfolio estimation under statistical factor models
- High-dimensional covariance matrix estimation in approximate factor models
- High-dimensional probability. An introduction with applications in data science
- Inferences in panel data with interactive effects using large covariance matrices
- Inferential Theory for Factor Models of Large Dimensions
- Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data
- Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
- Large covariance estimation for compositional data via composition-adjusted thresholding
- Large covariance estimation through elliptical factor models
- Linear regression for panel with unknown number of factors as interactive fixed effects
- Nonlinear shrinkage estimation of large-dimensional covariance matrices
- Nonparametric eigenvalue-regularized precision or covariance matrix estimator
- Nonparametric estimation of large covariance matrices with conditional sparsity
- On time-varying factor models: estimation and testing
- Panel data models with interactive fixed effects
- Regularized estimation of large covariance matrices
- SOFAR: Large-Scale Association Network Learning
- Sparse permutation invariant covariance estimation
This page was built for publication: Estimation of large covariance matrices with mixed factor structures
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6968536)
