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cross-sectional correlation
Sparse matrix
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sparse matrix
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principal components
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thresholding
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Liao, Yuan
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Fan, Jianqing
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Efficient Estimation of Approximate Factor Models
Bai, Jushan
;
Liao, Yuan
-
Volkswirtschaftliche Fakultät, …
-
2012
based on maximizing a Gaussian quasi-likelihood and involve regularizing a large covariance
sparse
matrix
. In the first …
Persistent link: https://www.econbiz.de/10011112633
Saved in:
2
Large covariance estimation by thresholding principal orthogonal complements
Fan, Jianqing
;
Liao, Yuan
;
Mincheva, Martina
-
Volkswirtschaftliche Fakultät, …
-
2011
composition of a low-rank matrix plus a
sparse
matrix
. By assuming sparse error covariance matrix in a multi-factor model, we …
Persistent link: https://www.econbiz.de/10011112962
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