Factor-adjusted multiple testing of correlations
From MaRDI portal
Publication:1796926
DOI10.1016/j.csda.2018.06.001zbMath1469.62059OpenAlexW2809327503MaRDI QIDQ1796926
Ronghua Luo, Lilun Du, Wei Lan, Ping-Shou Zhong
Publication date: 17 October 2018
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.csda.2018.06.001
Computational methods for problems pertaining to statistics (62-08) Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Paired and multiple comparisons; multiple testing (62J15)
Cites Work
- Unnamed Item
- Gaussian graphical model estimation with false discovery rate control
- High dimensional covariance matrix estimation using a factor model
- High-dimensional covariance matrix estimation in approximate factor models
- Statistics for high-dimensional data. Methods, theory and applications.
- Limiting laws of coherence of random matrices with applications to testing covariance structure and construction of compressed sensing matrices
- High-dimensional variable selection
- Covariance regularization by thresholding
- Regularized estimation of large covariance matrices
- Eigenvalue Ratio Test for the Number of Factors
- Forward Regression for Ultra-High Dimensional Variable Screening
- Adaptive Thresholding for Sparse Covariance Matrix Estimation
- Factor profiled sure independence screening
- Sure Independence Screening for Ultrahigh Dimensional Feature Space
- Stability Selection
- Strong Control, Conservative Point Estimation and Simultaneous Conservative Consistency of False Discovery Rates: A Unified Approach
- Generalized Thresholding of Large Covariance Matrices
- Estimation of the False Discovery Proportion with Unknown Dependence
- Common risk factors in the returns on stocks and bonds
- Inferential Theory for Factor Models of Large Dimensions
- Determining the Number of Factors in Approximate Factor Models
- Large Covariance Estimation by Thresholding Principal Orthogonal Complements