High-dimensional covariance matrix estimation in approximate factor models1

Annals of Statistics

Volumn 39, Issue 6, 2011, Pages 3320-3356

  Fan, Jianqing ^a   Liao, Yuan ^a   Mincheva, Martina ^a  

^a Princeton University   (United States)

Author keywords

Common factors; Cross sectional correlation; Idiosyncratic; Seemingly unrelated regression; Sparse estimation; Thresholding

Indexed keywords

EID: 84906280924     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/11-AOS944     Document Type: Article

References (21)

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