Large covariance estimation by thresholding principal orthogonal complements
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- Jianqing Fan & Yuan Liao & Martina Mincheva, 2013. "Large covariance estimation by thresholding principal orthogonal complements," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 75(4), pages 603-680, September.
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More about this item
Keywords
High dimensionality; approximate factor model; unknown factors; principal components; sparse matrix; low-rank matrix; thresholding; cross-sectional correlation;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2012-05-22 (Econometrics)
- NEP-ETS-2012-05-22 (Econometric Time Series)
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