Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
From MaRDI portal
Publication:5743151
Abstract: This paper deals with the estimation of a high-dimensional covariance with a conditional sparsity structure and fast-diverging eigenvalues. By assuming sparse error covariance matrix in an approximate factor model, we allow for the presence of some cross-sectional correlation even after taking out common but unobservable factors. We introduce the Principal Orthogonal complEment Thresholding (POET) method to explore such an approximate factor structure with sparsity. The POET estimator includes the sample covariance matrix, the factor-based covariance matrix (Fan, Fan, and Lv, 2008), the thresholding estimator (Bickel and Levina, 2008) and the adaptive thresholding estimator (Cai and Liu, 2011) as specific examples. We provide mathematical insights when the factor analysis is approximately the same as the principal component analysis for high-dimensional data. The rates of convergence of the sparse residual covariance matrix and the conditional sparse covariance matrix are studied under various norms. It is shown that the impact of estimating the unknown factors vanishes as the dimensionality increases. The uniform rates of convergence for the unobserved factors and their factor loadings are derived. The asymptotic results are also verified by extensive simulation studies. Finally, a real data application on portfolio allocation is presented.
Recommendations
- Large covariance estimation through elliptical factor models
- High dimensional covariance matrix estimation using a factor model
- High-dimensional covariance matrix estimation in approximate factor models
- Nonparametric estimation of large covariance matrices with conditional sparsity
- Asymptotics of empirical eigenstructure for high dimensional spiked covariance
Cites work
- scientific article; zbMATH DE number 1911755 (Why is no real title available?)
- scientific article; zbMATH DE number 3396952 (Why is no real title available?)
- A Singular Value Thresholding Algorithm for Matrix Completion
- A Testing Procedure for Determining the Number of Factors in Approximate Factor Models With Large Datasets
- A general framework for multiple testing dependence
- A penalized matrix decomposition, with applications to sparse principal components and canonical correlation analysis
- A two-step estimator for large approximate dynamic factor models based on Kalman filtering
- Adaptive thresholding for sparse covariance matrix estimation
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- Are more data always better for factor analysis?
- Asymptotics of sample eigenstructure for a large dimensional spiked covariance model
- Correlated \(z\)-values and the accuracy of large-scale statistical estimates
- Correlation and Large-Scale Simultaneous Significance Testing
- Covariance regularization by thresholding
- Determining the Number of Factors in Approximate Factor Models
- Determining the Number of Factors in the General Dynamic Factor Model
- Dynamic factors in the presence of blocks
- Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
- Estimation with quadratic loss.
- Forecasting Using Principal Components From a Large Number of Predictors
- GMM estimation of linear panel data models with time-varying individual effects
- Generalized thresholding of large covariance matrices
- High dimensional covariance matrix estimation using a factor model
- High-dimensional analysis of semidefinite relaxations for sparse principal components
- High-dimensional covariance matrix estimation in approximate factor models
- High-dimensional graphs and variable selection with the Lasso
- High-dimensional sparse factor modeling: applications in gene expression genomics
- High-dimensional volatility matrix estimation via wavelets and thresholding
- Improved penalization for determining the number of factors in approximate factor models
- Inferential Theory for Factor Models of Large Dimensions
- Measure Theory and Probability Theory
- Minimax bounds for sparse PCA with noisy high-dimensional data
- Noisy matrix decomposition via convex relaxation: optimal rates in high dimensions
- Nonparametric modeling of longitudinal covariance structure in functional mapping of quantitative trait loci
- On consistency and sparsity for principal components analysis in high dimensions
- On the distribution of the largest eigenvalue in principal components analysis
- Optimal rates of convergence for sparse covariance matrix estimation
- Optimal solutions for sparse principal component analysis
- PCA consistency in high dimension, low sample size context
- Posterior contraction in sparse Bayesian factor models for massive covariance matrices
- Regularization of Wavelet Approximations
- Robust principal component analysis?
- Sparse principal component analysis and iterative thresholding
- Sparse principal component analysis via regularized low rank matrix approximation
- Sparsistency and rates of convergence in large covariance matrix estimation
- The Rotation of Eigenvectors by a Perturbation. III
- The econometrics of mean‐variance efficiency tests: a survey
- The generalized dynamic factor model consistency and rates
- Vast portfolio selection with gross-exposure constraints
Cited in
(only showing first 100 items - show all)- Robust inference of risks of large portfolios
- Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions
- Learning Latent Factors From Diversified Projections and Its Applications to Over-Estimated and Weak Factors
- High dimensional efficiency with applications to change point tests
- Estimation and inference of change points in high-dimensional factor models
- Estimation and inference in semiparametric quantile factor models
- On LASSO for high dimensional predictive regression
- Forecasting large covariance matrix with high-frequency data using factor approach for the correlation matrix
- A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables
- Exact and asymptotic tests on a factor model in low and large dimensions with applications
- FNETS: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series
- Generalized dynamic factor models and volatilities: estimation and forecasting
- A Nodewise Regression Approach to Estimating Large Portfolios
- Estimation and optimal structure selection of high-dimensional Toeplitz covariance matrix
- Robust high-dimensional factor models with applications to statistical machine learning
- Transformed contribution ratio test for the number of factors in static approximate factor models
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data
- Sparse covariance matrix estimation in high-dimensional deconvolution
- Cross-Validated Loss-based Covariance Matrix Estimator Selection in High Dimensions
- Large factor model estimation by nuclear norm plus \(\ell_1\) norm penalization
- Divide-and-Conquer: A Distributed Hierarchical Factor Approach to Modeling Large-Scale Time Series Data
- A new approach for ultrahigh-dimensional covariance matrix estimation
- Large-dimensional factor modeling based on high-frequency observations
- Modeling High-Dimensional Time Series: A Factor Model With Dynamically Dependent Factors and Diverging Eigenvalues
- Linear shrinkage estimation of large covariance matrices using factor models
- On the systematic and idiosyncratic volatility with large panel high-frequency data
- TGCnA: temporal gene coexpression network analysis using a low-rank plus sparse framework
- A factor-GARCH model for high dimensional volatilities
- Augmented factor models with applications to validating market risk factors and forecasting bond risk premia
- Large-dimensional dynamic factor models: estimation of impulse-response functions with I(1) cointegrated factors
- Extracting conditionally heteroskedastic components using independent component analysis
- Recent developments in high dimensional covariance estimation and its related issues, a review
- A generalized likelihood ratio test for normal mean when \(p\) is greater than \(n\)
- Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear Dynamic Time Series
- Detection of Multiple Structural Breaks in Large Covariance Matrices
- Factor models for high‐dimensional functional time series I: Representation results
- A Factor-Based Estimation of Integrated Covariance Matrix With Noisy High-Frequency Data
- Community Detection in Partial Correlation Network Models
- A Synthetic Regression Model for Large Portfolio Allocation
- Interpretable Sparse Proximate Factors for Large Dimensions
- State-Varying Factor Models of Large Dimensions
- Nonparametric estimation of large covariance matrices with conditional sparsity
- Dynamic Peer Groups of Arbitrage Characteristics
- Estimation and Inference on Time-Varying FAVAR Models
- A recursive approach for determining matrix inverses as applied to causal time series processes
- NOVELIST estimator of large correlation and covariance matrices and their inverses
- scientific article; zbMATH DE number 7415123 (Why is no real title available?)
- Nonsparse learning with latent variables
- Large system of seemingly unrelated regressions: a penalized quasi-maximum likelihood estimation perspective
- Quasi maximum likelihood analysis of high dimensional constrained factor models
- A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data
- Generalized dynamic factor models and volatilities: consistency, rates, and prediction intervals
- Sparse Bayesian time-varying covariance estimation in many dimensions
- Factor-Adjusted Regularized Model Selection
- Bridging factor and sparse models
- High dimensional mean-variance optimization through factor analysis
- High-Dimensional Time Series Segmentation via Factor-Adjusted Vector Autoregressive Modeling
- Inference in High-Dimensional Multivariate Response Regression with Hidden Variables
- A Factor-Adjusted Multiple Testing Procedure With Application to Mutual Fund Selection
- Community network auto-regression for high-dimensional time series
- Factor-adjusted multiple testing of correlations
- Multi-population mortality modeling: when the data is too much and not enough
- Large covariance estimation through elliptical factor models
- Nonlinear Factor‐Augmented Predictive Regression Models with Functional Coefficients
- Bridging convex and nonconvex optimization in robust PCA: noise, outliers and missing data
- Posterior consistency of factor dimensionality in high-dimensional sparse factor models
- Statistical inference for the tangency portfolio in high dimension
- A comparison of methods for estimating the determinant of high-dimensional covariance matrix
- On the statistical analysis of high-dimensional factor models
- Sufficient forecasting using factor models
- High-dimensional multivariate realized volatility estimation
- Test for high dimensional covariance matrices
- Estimating change-point latent factor models for high-dimensional time series
- Mahalanobis metric based clustering for fixed effects model
- Recent advances in shrinkage-based high-dimensional inference
- High dimensional covariance matrix estimation using a factor model
- Parametric estimation of long memory in factor models
- Generalized Factor Model for Ultra-High Dimensional Correlated Variables with Mixed Types
- Large-Dimensional Factor Analysis Without Moment Constraints
- Unified discrete-time factor stochastic volatility and continuous-time Itô models for combining inference based on low-frequency and high-frequency
- Online learning of time-varying stochastic factor structure by variational sequential Bayesian factor analysis
- Estimation of the Number of Spiked Eigenvalues in a Covariance Matrix by Bulk Eigenvalue Matching Analysis
- Dynamic factor copula models with estimated cluster assignments
- Asymptotics for the systematic and idiosyncratic volatility with large dimensional high-frequency data
- Forecasting multiple time series with one-sided dynamic principal components
- Estimation of the global minimum variance portfolio in high dimensions
- Exact testing for heteroscedasticity in a two-way layout in variety frost trials when incorporating a covariate
- Projected estimation for large-dimensional matrix factor models
- Specification testing for conditional moment restrictions under local identification failure
- Consistent estimation of high-dimensional factor models when the factor number is over-estimated
- Model-Free Feature Screening and FDR Control With Knockoff Features
- Sparse PCA-based on high-dimensional Itô processes with measurement errors
- ESTIMATION OF THE KRONECKER COVARIANCE MODEL BY QUADRATIC FORM
- A Bayesian-motivated test for high-dimensional linear regression models with fixed design matrix
- Positive-definite modification of a covariance matrix by minimizing the matrix \(\ell_{\infty}\) norm with applications to portfolio optimization
- A large covariance matrix estimator under intermediate spikiness regimes
- Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model
- Principal envelope model
- Resolution Adaptive Fixed Rank Kriging
- Matrix Factor Analysis: From Least Squares to Iterative Projection
This page was built for publication: Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5743151)
