Error Covariance Matrix Estimation In High Dimensional Approximate Factor Models Using Adaptive Thresholding
Download Error Covariance Matrix Estimation In High Dimensional Approximate Factor Models Using Adaptive Thresholding full books in PDF, epub, and Kindle. Read online free Error Covariance Matrix Estimation In High Dimensional Approximate Factor Models Using Adaptive Thresholding ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Error Covariance Matrix Estimation in High Dimensional Approximate Factor Models Using Adaptive Thresholding
| Author | : Paul J. Chimenti |
| Publisher | : |
| Total Pages | : |
| Release | : 2013 |
| Genre | : |
| ISBN | : |
Download Error Covariance Matrix Estimation in High Dimensional Approximate Factor Models Using Adaptive Thresholding Book in PDF, Epub and Kindle
Abstract: Approximate factor models are popular in nance and economics. A key to eectively utilizing such a model is to accurately estimate the error covariance matrix. Errors related to certain predictors are expected to be correlated and this must be modeled eectively. Adaptive thresholding is a method for estimating the error covariance matrix of such a model. This method is described in detail and a simulation study sheds light on the behavior of this method under dierent sample sizes and parameterizations.
Error Covariance Matrix Estimation in High Dimensional Approximate Factor Models Using Adaptive Thresholding Related Books
Pages:
Pages: 204
Pages: 324
Pages:
Pages: 0
