Large Covariance Estimation by Thresholding Principal Orthogonal Complements

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Publication:5743151

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DOI10.1111/rssb.12016zbMath1411.62138arXiv1201.0175OpenAlexW2040373108WikidataQ42559363 ScholiaQ42559363MaRDI QIDQ5743151

Yuan Liao, Martina Mincheva, Jianqing Fan

Publication date: 9 May 2019

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1201.0175

zbMATH Keywords

sparse matrix high dimensionality thresholding principal components approximate factor model cross-sectional correlation unknown factors low rank matrix diverging eigenvalues

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12)

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