An overview of the estimation of large covariance and precision matrices
Year of publication: |
2016
|
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Authors: | Fan, Jianqing ; Liao, Yuan ; Liu, Han |
Published in: |
The econometrics journal. - Oxford : Oxford University Press, ISSN 1368-4221, ZDB-ID 1412265-0. - Vol. 19.2016, 1, p. 1-32
|
Subject: | Approximate factor model | Elliptical distribution | Graphical model | Heavy-tailed | High-dimensionality | Low-rank matrix | Principal components | Rank-based methods | Sparse matrix | Thresholding | Lineare Algebra | Linear algebra | Faktorenanalyse | Factor analysis | Schätztheorie | Estimation theory | Korrelation | Correlation | Statistische Verteilung | Statistical distribution | Zeitreihenanalyse | Time series analysis |
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