An overview of the estimation of large covariance and precision matrices
Jianqing Fan, Yuan Liao and Han Liu
| Year of publication: |
2016
|
|---|---|
| Authors: | Fan, Jianqing ; Liao, Yuan ; Liu, Han |
| Published in: |
The econometrics journal. - Oxford : Oxford University Press, ISSN 1368-4221, ZDB-ID 1412265-0. - Vol. 19.2016, 1, p. 1-32
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| Subject: | Approximate factor model | Elliptical distribution | Graphical model | Heavy-tailed | High-dimensionality | Low-rank matrix | Principal components | Rank-based methods | Sparse matrix | Thresholding | Schätztheorie | Estimation theory | Korrelation | Correlation | Lineare Algebra | Linear algebra | Faktorenanalyse | Factor analysis | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/ectj.12061 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011487485