Large factor model estimation by nuclear norm plus \(\ell_1\) norm penalization
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Publication:6183693
DOI10.1016/j.jmva.2023.105244arXiv2104.02422OpenAlexW3141871612MaRDI QIDQ6183693
Matteo Farnè, Angela Montanari
Publication date: 4 January 2024
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2104.02422
Factor analysis and principal components; correspondence analysis (62H25) Eigenvalues, singular values, and eigenvectors (15A18) Multivariate analysis (62Hxx) Numerical methods for low-rank matrix approximation; matrix compression (65F55)
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