Regularized covariance matrix estimation in high dimensional approximate factor models
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Publication:6540874
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Cites work
- A Bernstein type inequality and moderate deviations for weakly dependent sequences
- A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables
- Adaptive thresholding for sparse covariance matrix estimation
- Consistent estimation of high-dimensional factor models when the factor number is over-estimated
- Error covariance matrix estimation using ridge estimator
- Estimation with quadratic loss.
- High-dimensional covariance matrix estimation in approximate factor models
- Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
- Large-Dimensional Factor Analysis Without Moment Constraints
- Least squares after model selection in high-dimensional sparse models
- Robust covariance estimation for approximate factor models
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