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Robust Covariance Estimation for Approximate Factor Models
In this paper, we study robust covariance estimation under the approximate factor model with observed factors. We propose a novel framework to first estimate the initial joint covariance matrix of the observed data and the factors, and then use it to recover the covariance matrix of the observed dat...
Guardat en:
| Publicat a: | J Econom |
|---|---|
| Autors principals: | , , |
| Format: | Artigo |
| Idioma: | Inglês |
| Publicat: |
2018
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| Matèries: | |
| Accés en línia: | https://ncbi.nlm.nih.gov/pmc/articles/PMC6287924/ https://ncbi.nlm.nih.gov/pubmed/30546195 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1016/j.jeconom.2018.09.003 |
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