Robust high-dimensional factor models with applications to statistical machine learning (Q2038305)

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Robust high-dimensional factor models with applications to statistical machine learning
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    Robust high-dimensional factor models with applications to statistical machine learning (English)
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    6 July 2021
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    factor model
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    PCA
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    covariance estimation
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    FarmSelect
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    FarmTest
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    perturbation bounds
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    random sketch
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    robustness
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