High dimensional covariance matrix estimation using multi-factor models from incomplete information
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Publication:2515313
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- scientific article; zbMATH DE number 6719853
Cites work
- scientific article; zbMATH DE number 3833218 (Why is no real title available?)
- scientific article; zbMATH DE number 45081 (Why is no real title available?)
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Cited in
(8)- High-dimensional covariance matrix estimation with missing observations
- Large covariance estimation through elliptical factor models
- High-dimensional covariance matrix estimation in approximate factor models
- Minimax rate-optimal estimation of high-dimensional covariance matrices with incomplete data
- High dimensional covariance matrix estimation using a factor model
- Embracing the blessing of dimensionality in factor models
- High dimensional semiparametric estimate of latent covariance matrix for matrix-variate
- Statistical Inference for High-Dimensional Matrix-Variate Factor Models
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