Robust Factor Analysis for High-Dimensional Data with Outliers
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Cites work
- A Fast Iterative Shrinkage-Thresholding Algorithm for Linear Inverse Problems
- A generalized proximal point algorithm for certain non-convex minimization problems
- A unified approach to exploratory factor analysis with missing data, nonnormal data, and in the presence of outliers
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- An accelerated proximal gradient algorithm for nuclear norm regularized linear least squares problems
- Approximate factor models with weaker loadings
- Asymptotics of the principal components estimator of large factor models with weakly influential factors
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- Bridging convex and nonconvex optimization in robust PCA: noise, outliers and missing data
- Determining the Number of Factors in Approximate Factor Models
- Determining the number of factors when the number of factors can increase with sample size
- Eigenvalue ratio test for the number of factors
- Estimation of Sparsity-Induced Weak Factor Models
- Exact matrix completion via convex optimization
- Factor models with local factors -- determining the number of relevant factors
- Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components?
- Forecasting Using Principal Components From a Large Number of Predictors
- FRED-MD: A Monthly Database for Macroeconomic Research
- High-dimensional covariance matrix estimation in approximate factor models
- Identifying the number of factors from singular values of a large sample auto-covariance matrix
- Improved penalization for determining the number of factors in approximate factor models
- Inferential Theory for Factor Models of Large Dimensions
- Information criteria for latent factor models: a study on factor pervasiveness and adaptivity
- Measure Theory and Probability Theory
- OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS
- Rank-Sparsity Incoherence for Matrix Decomposition
- Recovering Low-Rank Matrices From Few Coefficients in Any Basis
- Robust principal component analysis?
- The Power of Convex Relaxation: Near-Optimal Matrix Completion
- Weak and strong cross-section dependence and estimation of large panels
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