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scientific article; zbMATH DE number 7370530

Language	Label	Description	Also known as
English	No label defined	scientific article; zbMATH DE number 7370530

Statements

scholarly article

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publication date

9 July 2021

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full work available at URL

https://jmlr.csail.mit.edu/papers/v22/19-1018.html

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Mathematics Subject Classification ID

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zbMATH DE Number

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zbMATH Keywords

interactive effects

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robust estimation

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factor model

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Huber's loss

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change-points detection

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describes a project that uses

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MaRDI profile type

MaRDI publication profile

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Entrywise eigenvector analysis of random matrices with low expected rank

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Formulation and estimation of dynamic models using panel data

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Panel Data Econometrics

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Robust estimation of high-dimensional covariance and precision matrices

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Determining the Number of Factors in Approximate Factor Models

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Serial Correlation and the Fixed Effects Model

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Challenging the empirical mean and empirical variance: a deviation study

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Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets

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High dimensional stochastic regression with latent factors, endogeneity and nonlinearity

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Consistent multiple testing for change points

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Multiple-Change-Point Detection for High Dimensional Time Series via Sparsified Binary Segmentation

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Large Covariance Estimation by Thresholding Principal Orthogonal Complements

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Robust inference of risks of large portfolios

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Estimation of High Dimensional Mean Regression in the Absence of Symmetry and Light Tail Assumptions

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Large covariance estimation through elliptical factor models

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An $\ell_{\infty}$ Eigenvector Perturbation Bound and Its Application to Robust Covariance Estimation

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FarmTest: Factor-Adjusted Robust Multiple Testing With Approximate False Discovery Control

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Robust covariance estimation for approximate factor models

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Augmented factor models with applications to validating market risk factors and forecasting bond risk premia

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Test of significance for high-dimensional longitudinal data

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Wild binary segmentation for multiple change-point detection

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Multiple-Change-Point Detection for Auto-Regressive Conditional Heteroscedastic Processes

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Longitudinal data analysis using \(t\)-type regression.

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Panel data analysis -- advantages and challenges (with comments and rejoinder)

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Finite sample breakdown of M- and P-estimators

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On Consistency and Sparsity for Principal Components Analysis in High Dimensions

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Estimating dynamic panel data models: A guide for macroeconomists

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Structure identification in panel data analysis

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User-friendly covariance estimation for heavy-tailed distributions

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Homogeneity Pursuit

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Optimal Detection of Changepoints With a Linear Computational Cost

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A NEW PANEL DATA TREATMENT FOR HETEROGENEITY IN TIME TRENDS

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Estimation of spatial autoregressive panel data models with fixed effects

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Robust covariance estimation under \(L_4\)-\(L_2\) norm equivalence

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Sub-Gaussian estimators of the mean of a random matrix with heavy-tailed entries

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Robust modifications of U-statistics and applications to covariance estimation problems

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Biases in Dynamic Models with Fixed Effects

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A general theory of hypothesis tests and confidence regions for sparse high dimensional models

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Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure

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Robust factor analysis.

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Outlier Detection Using Nonconvex Penalized Regression

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The statistics and mathematics of high dimension low sample size asymptotics

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Forecasting Using Principal Components From a Large Number of Predictors

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Identifying latent grouped patterns in panel data models with interactive fixed effects

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Identifying Latent Structures in Panel Data

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Adaptive Huber Regression

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On asymptotically optimal confidence regions and tests for high-dimensional models

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Asymptotics of empirical eigenstructure for high dimensional spiked covariance

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Consistently determining the number of factors in multivariate volatility modelling

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A NEW MULTILEVEL MODELING APPROACH FOR CLUSTERED SURVIVAL DATA

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Confidence Intervals for Low Dimensional Parameters in High Dimensional Linear Models

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A new perspective on robust \(M\)-estimation: finite sample theory and applications to dependence-adjusted multiple testing

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Sitelinks

Mathematics(1 entry)

mardi Publication:4998879

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