Regularized covariance matrix estimation in high dimensional approximate factor models
Author:
Publisher
Elsevier BV
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Reference17 articles.
1. Consistent estimation of high-dimensional factor models when the factor number is over-estimated;Barigozzi;Electron. J. Stat.,2020
2. Least squares after model selection in high-dimensional sparse models;Belloni;Bernoulli,2013
3. Adaptive thresholding for sparse covariance matrix estimation;Cai;J. Amer. Statist. Assoc.,2011
4. A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables;Chen;J. Econometrics,2019
5. The cross-section of expected stock returns;Fama;J. Finance,1992
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