An overview of the estimation of large covariance and precision matrices

Econometrics Journal

Volumn 19, Issue 1, 2016, Pages C1-C32

  Fan, Jianqing ^a   Liao, Yuan ^b   Liu, Han ^a  

^a Princeton University   (United States)

^b Bldg 142   (United States)

Author keywords

Approximate factor model; Elliptical distribution; Graphical model; Heavy tailed; High dimensionality; Low rank matrix; Principal components; Rank based methods; Sparse matrix; Thresholding

Indexed keywords

EID: 84962166694     PISSN: 13684221     EISSN: 1368423X     Source Type: Journal    
DOI: 10.1111/ectj.12061     Document Type: Article

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