An overview of the estimation of large covariance and precision matrices
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Publication:5093929
DOI10.1111/ectj.12061OpenAlexW216325278MaRDI QIDQ5093929
Han Liu, Yuan Liao, Jianqing Fan
Publication date: 2 August 2022
Published in: The Econometrics Journal (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1504.02995
sparse matrixthresholdingprincipal componentshigh-dimensionalitygraphical modelelliptical distributionlow-rank matrixheavy-tailedrank-based methodsapproximate factor model
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