High dimensional covariance matrix estimation using multi-factor models from incomplete information (Q2515313)
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scientific article; zbMATH DE number 6468511
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| English | High dimensional covariance matrix estimation using multi-factor models from incomplete information |
scientific article; zbMATH DE number 6468511 |
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High dimensional covariance matrix estimation using multi-factor models from incomplete information (English)
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31 July 2015
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high dimensional covariance matrix estimation
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multi-factor model
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matrix completion
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alternating direction method of multipliers
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0.8588644862174988
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0.837874710559845
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0.8170178532600403
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0.8090928792953491
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