Sparse high-dimensional models in economics

Annual Review of Economics

Volumn 3, Issue , 2011, Pages 291-317

  Fan, Jianqing ^a,b   Lv, Jinchi ^c   Qi, Lei ^a,b  

^a PRINCETON UNIVERSITY   (United States)

^b Princeton University   (United States)

^c UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

Author keywords

Factor models; Independence screening; Oracle properties; Penalized likelihood; Portfolio selection; Variable selection

Indexed keywords

EID: 80051767239     PISSN: 19411383     EISSN: 19411391     Source Type: Journal    
DOI: 10.1146/annurev-economics-061109-080451     Document Type: Review

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