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Large Covariance Estimation by Thresholding Principal Orthogonal Complements
This paper deals with the estimation of a high-dimensional covariance with a conditional sparsity structure and fast-diverging eigenvalues. By assuming sparse error covariance matrix in an approximate factor model, we allow for the presence of some cross-sectional correlation even after taking out c...
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| Main Authors: | , , |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
2013
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC3859166/ https://ncbi.nlm.nih.gov/pubmed/24348088 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1111/rssb.12016 |
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