Pivotal variable detection of the covariance matrix and its application to high-dimensional factor models (Q1704016)
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scientific article; zbMATH DE number 6848116
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| English | Pivotal variable detection of the covariance matrix and its application to high-dimensional factor models |
scientific article; zbMATH DE number 6848116 |
Statements
Pivotal variable detection of the covariance matrix and its application to high-dimensional factor models (English)
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8 March 2018
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covariance matrix estimation
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factor model
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principal component analysis
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pivotal variable detection
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row sparsity
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ultra-high dimension
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0.7732207179069519
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0.7549497485160828
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0.7473952770233154
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0.7438518404960632
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0.7408655881881714
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