On the penalized maximum likelihood estimation of high-dimensional approximate factor model

DOI10.1007/s00180-019-00869-zzbMath1417.62145arXiv1608.06189OpenAlexW2909723368MaRDI QIDQ2418076

Shaoxin Wang, Hu Yang, Chaoli Yao

Publication date: 3 June 2019

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1608.06189

zbMATH Keywords

positive definitenesserror covariance matrixaccelerated proximal gradient algorithmEM precedure

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12)

Uses Software

• spcov

Cites Work

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