Learning a factor model via regularized PCA (Q399883)
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scientific article
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| English | Learning a factor model via regularized PCA |
scientific article |
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Learning a factor model via regularized PCA (English)
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20 August 2014
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principal component analysis
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factor model
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high-dimensional data
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covariance matrix estimation
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regularization
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0.7824820876121521
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0.7672654390335083
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0.755689799785614
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0.7512862086296082
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0.7502706050872803
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