Fan, Jianqing; Liao, Yuan; Mincheva, Martina - Volkswirtschaftliche Fakultät, … - 2011
This paper deals with estimation of high-dimensional covariance with a conditional sparsity structure, which is the composition of a low-rank matrix plus a sparse matrix. By assuming sparse error covariance matrix in a multi-factor model, we allow the presence of the cross-sectional correlation...