Robust covariance estimation for approximate factor models
Jianqing Fan, Weichen Wang, Yiqiao Zhong
| Year of publication: |
2019
|
|---|---|
| Authors: | Fan, Jianqing ; Wang, Weichen ; Zhong, Yiqiao |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 208.2019, 1, p. 5-22
|
| Subject: | Robust covariance matrix | Approximate factor model | M-estimator | Schätztheorie | Estimation theory | Korrelation | Correlation | Faktorenanalyse | Factor analysis | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Robustes Verfahren | Robust statistics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2018.09.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012139773