Large covariance estimation through elliptical factor models
From MaRDI portal
Publication:2413594
DOI10.1214/17-AOS1588zbMath1402.62124arXiv1507.08377OpenAlexW2964287564WikidataQ64928520 ScholiaQ64928520MaRDI QIDQ2413594
Han Liu, Wei-Chen Wang, Jianqing Fan
Publication date: 14 September 2018
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1507.08377
principal component analysiselliptical distributionapproximate factor modelconditional graphical modelmarginal and spatial Kendall's tausub-Gaussian family
Factor analysis and principal components; correspondence analysis (62H25) Estimation in multivariate analysis (62H12)
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