Large Covariance Estimation by Thresholding Principal Orthogonal Complements (Q5743151)
From MaRDI portal
scientific article; zbMATH DE number 7052657
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Large Covariance Estimation by Thresholding Principal Orthogonal Complements |
scientific article; zbMATH DE number 7052657 |
Statements
Large Covariance Estimation by Thresholding Principal Orthogonal Complements (English)
0 references
9 May 2019
0 references
approximate factor model
0 references
cross-sectional correlation
0 references
diverging eigenvalues
0 references
high dimensionality
0 references
low rank matrix
0 references
principal components
0 references
sparse matrix
0 references
thresholding
0 references
unknown factors
0 references
0 references
0 references
0 references
0 references
0 references
