High-dimensional covariance matrix estimation in approximate factor models
Work
Year: 2011
Type: article
Abstract: 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 sparsi... more
Source: The Annals of Statistics
Authors Jianqing Fan, Yuan Liao, Martina Mincheva
Institution Princeton University
Cites: 27
Cited by: 258
Related to: 10
FWCI: 27.5
Citation percentile (by year/subfield): 100
Subfield: Economics and Econometrics
Domain: Social Sciences
Sustainable Development Goal Decent work and economic growth
Open Access status: bronze