High-dimensional covariance matrix estimation in approximate factor models (Q450002)

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High-dimensional covariance matrix estimation in approximate factor models
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    High-dimensional covariance matrix estimation in approximate factor models (English)
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    3 September 2012
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    sparse estimation
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    thresholding
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    cross-sectional correlations
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    common factors
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    idiosyncratic
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    seemingly unrelated regression
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