Estimation of large covariance matrices with mixed factor structures
Year of publication: |
2024
|
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Authors: | Dai, Runyu ; Uematsu, Yoshimasa ; Matsuda, Yasumasa |
Published in: |
The econometrics journal. - Oxford : Oxford University Press, ISSN 1368-423X, ZDB-ID 1475536-1. - Vol. 27.2024, 1, p. 62-83
|
Subject: | Sparsity-induced weak factor model | SOFAR estimator | factor error structure | sparse covariance matrix | thresholding | Schätztheorie | Estimation theory | Korrelation | Correlation | Faktorenanalyse | Factor analysis | Statistischer Fehler | Statistical error |
Type of publication: | Article |
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Type of publication (narrower categories): | Konferenzbeitrag ; Conference paper ; Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.1093/ectj/utad018 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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