High dimensional covariance matrix estimation using a factor model

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Publication:299275

DOI10.1016/j.jeconom.2008.09.017zbMath1429.62185arXivmath/0701124OpenAlexW2073681337WikidataQ105583685 ScholiaQ105583685MaRDI QIDQ299275

Yingying Fan, Jinchi Lv, Jianqing Fan

Publication date: 22 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0701124



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