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HIGH DIMENSIONAL COVARIANCE MATRIX ESTIMATION IN APPROXIMATE FACTOR MODELS
The variance covariance matrix plays a central role in the inferential theories of high dimensional factor models in finance and economics. Popular regularization methods of directly exploiting sparsity are not directly applicable to many financial problems. Classical methods of estimating the covar...
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| 主要な著者: | , , |
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| フォーマット: | Artigo |
| 言語: | Inglês |
| 出版事項: |
2011
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| 主題: | |
| オンライン･アクセス: | https://ncbi.nlm.nih.gov/pmc/articles/PMC3363011/ https://ncbi.nlm.nih.gov/pubmed/22661790 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1214/11-AOS944 |
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