Sparse Approximate Factor Estimation for High-dimensional Covariance Matrices

Sparse Approximate Factor Estimation for High-dimensional Covariance Matrices
Author: Maurizio Daniele
Publisher:
Total Pages:
Release: 2020
Genre:
ISBN:

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Sparse Approximate Factor Estimation for High-dimensional Covariance Matrices
Language: en
Pages:
Authors: Maurizio Daniele
Categories:
Type: BOOK - Published: 2020 - Publisher:

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Large Dimensional Factor Analysis
Language: en
Pages: 90
Authors: Jushan Bai
Categories: Business & Economics
Type: BOOK - Published: 2008 - Publisher: Now Publishers Inc

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Large Dimensional Factor Analysis provides a survey of the main theoretical results for large dimensional factor models, emphasizing results that have implicati
Error Covariance Matrix Estimation in High Dimensional Approximate Factor Models Using Adaptive Thresholding
Language: en
Pages:
Authors: Paul J. Chimenti
Categories:
Type: BOOK - Published: 2013 - Publisher:

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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
High-Dimensional Covariance Estimation
Language: en
Pages: 204
Authors: Mohsen Pourahmadi
Categories: Mathematics
Type: BOOK - Published: 2013-06-24 - Publisher: John Wiley & Sons

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Methods for estimating sparse and large covariance matrices Covariance and correlation matrices play fundamental roles in every aspect of the analysis of multiv
Efficient Estimation of Approximate Factor Models Via Regularized Maximum Likelihood
Language: en
Pages: 0
Authors: Jushan Bai
Categories:
Type: BOOK - Published: 2012 - Publisher:

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We study the estimation of a high dimensional approximate factor model in the presence of both cross sectional dependence and heteroskedasticity. The classical