Rank regularized estimation of approximate factor models
Year of publication: |
2019
|
---|---|
Authors: | Bai, Jushan ; Ng, Serena |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 212.2019, 1, p. 78-96
|
Subject: | Low rank decomposition | Minimum-rank | Nuclear-norm minimization | Robust principal components | Singular-value thresholding | Ranking-Verfahren | Ranking method | Schätztheorie | Estimation theory | Faktorenanalyse | Factor analysis |
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