Efficient estimation of approximate factor models via penalized maximum likelihood (Q898581)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Efficient estimation of approximate factor models via penalized maximum likelihood |
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Efficient estimation of approximate factor models via penalized maximum likelihood |
scientific article |
Statements
Efficient estimation of approximate factor models via penalized maximum likelihood (English)
0 references
18 December 2015
0 references
high dimensionality
0 references
unknown factors
0 references
principal components
0 references
conditional sparse
0 references
thresholding
0 references
cross-sectional correlation
0 references
penalized maximum likelihood
0 references
adaptive LASSO
0 references
SCAD
0 references
heteroskedasticity
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.8424555063247681
0 references
0.8055983185768127
0 references
0.7981616854667664
0 references
0.7806313633918762
0 references
0.7766798138618469
0 references
