High dimensional covariance matrix estimation using multi-factor models from incomplete information

DOI10.1007/S11425-014-4961-5zbMATH Open1325.62116OpenAlexW1982848363MaRDI QIDQ2515313FDOQ2515313

Authors: Fang Fang Xu, Jian Chao Huang, Zaiwen Wen 

Publication date: 31 July 2015

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-014-4961-5

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zbMATH Keywords

alternating direction method of multipliersmatrix completionmulti-factor modelhigh dimensional covariance matrix estimation

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Matrix completion problems (15A83) Fundamental topics (basic mathematics, methodology; applicable to economics in general) (91B02) Control/observation systems with incomplete information (93C41)

Cites Work

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• Alternating direction augmented Lagrangian methods for semidefinite programming
• Adaptive covariance matrix estimation through block thresholding
• Robust Portfolio Selection Problems
• High-dimensional covariance matrix estimation in approximate factor models

Cited In (5)

• High-dimensional covariance matrix estimation in approximate factor models
• Large covariance estimation through elliptical factor models
• Statistical Inference for High-Dimensional Matrix-Variate Factor Models
• High-dimensional covariance matrix estimation with missing observations
• High dimensional semiparametric estimate of latent covariance matrix for matrix-variate

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