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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...

詳細記述

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書誌詳細
主要な著者: Fan, Jianqing, Liao, Yuan, Mincheva, Martina
フォーマット: Artigo
言語:Inglês
出版事項: 2011
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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