Pivotal variable detection of the covariance matrix and its application to high-dimensional factor models
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Publication:1704016
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Cites work
- Adaptive thresholding for sparse covariance matrix estimation
- Adjusting batch effects in microarray expression data using empirical Bayes methods
- Consistently determining the number of factors in multivariate volatility modelling
- Determining the Number of Factors in Approximate Factor Models
- Forecasting Using Principal Components From a Large Number of Predictors
- Generalized thresholding of large covariance matrices
- High-dimensional covariance estimation by minimizing \(\ell _{1}\)-penalized log-determinant divergence
- High-dimensional covariance matrix estimation in approximate factor models
- Inferential Theory for Factor Models of Large Dimensions
- Latent variable graphical model selection via convex optimization
- Noisy matrix decomposition via convex relaxation: optimal rates in high dimensions
- Spectral norm of products of random and deterministic matrices
- Statistical analysis of factor models of high dimension
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