A large covariance matrix estimator under intermediate spikiness regimes
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Publication:2293542
DOI10.1016/j.jmva.2019.104577zbMath1436.62198arXiv1711.08950OpenAlexW2897473760WikidataQ126641746 ScholiaQ126641746MaRDI QIDQ2293542
Matteo Farnè, Angela Montanari
Publication date: 5 February 2020
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1711.08950
Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inequalities involving eigenvalues and eigenvectors (15A42)
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An Algebraic Estimator for Large Spectral Density Matrices, Large factor model estimation by nuclear norm plus \(\ell_1\) norm penalization, A large covariance matrix estimator under intermediate spikiness regimes
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