Inference in Sparsity-Induced Weak Factor Models

Cites Work

Title not available (Why is that?)
Title not available (Why is that?)
Title not available (Why is that?)
On asymptotically optimal confidence regions and tests for high-dimensional models
Gaussian graphical model estimation with false discovery rate control
Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
Sparse estimators and the oracle property, or the return of Hodges' estimator
Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components?
High dimensional covariance matrix estimation using a factor model
High-dimensional covariance matrix estimation in approximate factor models
Asymptotics of the principal components estimator of large factor models with weakly influential factors
On the distribution of penalized maximum likelihood estimators: the LASSO, SCAD, and thresholding
Estimating latent asset-pricing factors
False discovery rate control via debiased Lasso
Principal components estimation and identification of static factors
Confidence Intervals and Hypothesis Testing for High-Dimensional Regression
Weak and strong cross‐section dependence and estimation of large panels
Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
Forecasting Using Principal Components From a Large Number of Predictors
Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities
High-Dimensional Probability
SOFAR: Large-Scale Association Network Learning
Inferential Theory for Factor Models of Large Dimensions
Determining the Number of Factors in Approximate Factor Models
Large Covariance Estimation by Thresholding Principal Orthogonal Complements
Confidence Intervals for Low Dimensional Parameters in High Dimensional Linear Models