Estimation of large covariance matrices with mixed factor structures (Q6968536)
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scientific article; zbMATH DE number 8055511
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| English | Estimation of large covariance matrices with mixed factor structures |
scientific article; zbMATH DE number 8055511 |
Statements
Estimation of large covariance matrices with mixed factor structures (English)
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24 June 2025
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sparsity-induced weak factor model
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SOFAR estimator
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factor error structure
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sparse covariance matrix
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thresholding
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