Efficient estimation of approximate factor models via penalized maximum likelihood (Q898581)
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scientific article; zbMATH DE number 6522140
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| English | Efficient estimation of approximate factor models via penalized maximum likelihood |
scientific article; zbMATH DE number 6522140 |
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Efficient estimation of approximate factor models via penalized maximum likelihood (English)
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18 December 2015
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high dimensionality
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unknown factors
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principal components
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conditional sparse
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thresholding
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cross-sectional correlation
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penalized maximum likelihood
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adaptive LASSO
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SCAD
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heteroskedasticity
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0.8424555063247681
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0.8055983185768127
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0.7981616854667664
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0.7806313633918762
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0.7766798138618469
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