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Search: subject:"SOFAR estimator"
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Estimation theory
5
Factor analysis
5
Faktorenanalyse
5
Schätztheorie
5
CAPM
4
Approximate factor models
3
Debiased SOFAR estimator
3
Estimation
3
Multiple testing
3
Schätzung
3
Correlation
2
FDRand Power
2
Induktive Statistik
2
Korrelation
2
Linear algebra
2
Lineare Algebra
2
Portfolio selection
2
Portfolio-Management
2
Re-sparsification
2
SOFAR estimator
2
Sparsity-induced weak factor model
2
Statistical inference
2
Statistical test
2
Statistischer Test
2
(Adaptive) SOFAR estimator
1
Estimating diverging exponents
1
Estimation error bound
1
FDR and power
1
Factor error structure
1
Group factor structure
1
Interpreting factors
1
Resparsification
1
Sparse covariance matrix
1
Statistical error
1
Statistischer Fehler
1
Thresholding
1
Time series analysis
1
Zeitreihenanalyse
1
factor error structure
1
sparse covariance matrix
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English
6
Author
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Uematsu, Yoshimasa
6
Yamagata, Takashi
4
Dai, Runyu
2
Matsuda, Yasumasa
2
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Data science and service research discussion paper
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ISER Discussion Paper
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The econometrics journal
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ECONIS (ZBW)
5
EconStor
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Estimation of large covariance matrices with mixed factor structures
Dai, Runyu
;
Uematsu, Yoshimasa
;
Matsuda, Yasumasa
-
2022
Persistent link: https://www.econbiz.de/10013445725
Saved in:
2
Estimation of large covariance matrices with mixed factor structures
Dai, Runyu
;
Uematsu, Yoshimasa
;
Matsuda, Yasumasa
- In:
The econometrics journal
27
(
2024
)
1
,
pp. 62-83
Persistent link: https://www.econbiz.de/10014528099
Saved in:
3
Inference in sparsity-induced weak factor models
Uematsu, Yoshimasa
;
Yamagata, Takashi
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 126-139
Persistent link: https://www.econbiz.de/10013540652
Saved in:
4
Estimation of sparsity-induced weak factor models
Uematsu, Yoshimasa
;
Yamagata, Takashi
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
1
,
pp. 213-227
Persistent link: https://www.econbiz.de/10013540797
Saved in:
5
Inference in weak factor models
Uematsu, Yoshimasa
;
Yamagata, Takashi
-
2020
. This "factor selection" procedure is primarily based on a de-sparsified (or debiased) version of the WF-
SOFAR
estimator
of …
Persistent link: https://www.econbiz.de/10012430032
Saved in:
6
Inference in weak factor models
Uematsu, Yoshimasa
;
Yamagata, Takashi
-
2020
. This "factor selection" procedure is primarily based on a de-sparsified (or debiased) version of the WF-
SOFAR
estimator
of …
Persistent link: https://www.econbiz.de/10012195607
Saved in:
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