Inference in Sparsity-Induced Weak Factor Models
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Cites work
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- Asymptotics of the principal components estimator of large factor models with weakly influential factors
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- Estimating latent asset-pricing factors
- False discovery rate control via debiased Lasso
- Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components?
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- High dimensional covariance matrix estimation using a factor model
- High-dimensional covariance matrix estimation in approximate factor models
- High-dimensional probability. An introduction with applications in data science
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- scientific article; zbMATH DE number 720689 (Why is no real title available?)
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- Inferential Theory for Factor Models of Large Dimensions
- Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
- On asymptotically optimal confidence regions and tests for high-dimensional models
- On the distribution of penalized maximum likelihood estimators: the LASSO, SCAD, and thresholding
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- Shrinkage estimation of high-dimensional factor models with structural instabilities
- SOFAR: Large-Scale Association Network Learning
- Sparse estimators and the oracle property, or the return of Hodges' estimator
- Weak and strong cross-section dependence and estimation of large panels
Cited in
(8)- Online change-point detection for matrix-valued time series with latent two-way factor structure
- Local projection inference in high dimensions
- Discovering the Network Granger Causality in Large Vector Autoregressive Models
- Shrinkage estimation of spatial panel data models with multiple structural breaks and a multifactor error structure
- Model selection for generalized linear models with weak factors
- Huber principal component analysis for large-dimensional factor models
- Indian Buffet process factor model for counterfactual analysis
- Instability of Factor Strength in Asset Returns
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