Factorized estimation of high-dimensional nonparametric covariance models
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Cited in
(11)- Nonparametric estimation of large covariance matrices with conditional sparsity
- Approximate likelihood with proxy variables for parameter estimation in high-dimensional factor copula models
- Large covariance estimation through elliptical factor models
- Local linear estimation of covariance matrices via Cholesky decomposition
- scientific article; zbMATH DE number 5633835 (Why is no real title available?)
- SOLVING LARGE SCALE MEAN-VARIANCE MODELS WITH DENSE NON-FACTORABLE COVARIANCE MATRICES
- A Factorized High Dimensional Model Representation on the Partitioned Random Discrete Data
- High-dimensional realized covariance estimation: a parametric approach
- A Matrix-Free Likelihood Method for Exploratory Factor Analysis of High-Dimensional Gaussian Data
- Statistical Inference for High-Dimensional Matrix-Variate Factor Models
- Variational inference for high dimensional structured factor copulas
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