Large Covariance Matrix Estimation Based on Factor Models via Nonconvex Optimization
Author:
Affiliation:
1. ShanghaiTech University,School of Information Science and Technology,Shanghai,China
Publisher
IEEE
Link
http://xplorestaging.ieee.org/ielx7/10445798/10445803/10447865.pdf?arnumber=10447865
Reference27 articles.
1. An overview of the estimation of large covariance and precision matrices
2. A Shrinkage Approach to Large-Scale Covariance Matrix Estimation and Implications for Functional Genomics
3. Mean-Reverting Portfolio With Budget Constraint
4. Optimal Mean-Reverting Portfolio With Leverage Constraint for Statistical Arbitrage in Finance
5. High-resolution frequency-wavenumber spectrum analysis
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