Regularized covariance matrix estimation in high dimensional approximate factor models (Q6540874)
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scientific article; zbMATH DE number 7850466
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| English | Regularized covariance matrix estimation in high dimensional approximate factor models |
scientific article; zbMATH DE number 7850466 |
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Regularized covariance matrix estimation in high dimensional approximate factor models (English)
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17 May 2024
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high dimensionality
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factor model
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Lasso
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adaptive thresholding
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entropy loss
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0.8737625479698181
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0.8719428181648254
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0.8380289077758789
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0.8373544812202454
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