High-dimensional covariance matrix estimation in approximate factor models (Q450002)
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scientific article; zbMATH DE number 6075599
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| English | High-dimensional covariance matrix estimation in approximate factor models |
scientific article; zbMATH DE number 6075599 |
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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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0.8670318722724915
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0.8456481099128723
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0.8170178532600403
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0.8080536127090454
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