Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply (Q5743151)
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scientific article; zbMATH DE number 7052657
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| English | Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply |
scientific article; zbMATH DE number 7052657 |
Statements
Large Covariance Estimation by Thresholding Principal Orthogonal Complements (English)
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9 May 2019
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approximate factor model
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cross-sectional correlation
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diverging eigenvalues
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high dimensionality
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low rank matrix
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principal components
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sparse matrix
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thresholding
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unknown factors
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0.880448043346405
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0.8539348244667053
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0.8456481099128723
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0.8338907361030579
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0.829742431640625
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