Fan, Jianqing; Liao, Yuan; Mincheva, Martina - Volkswirtschaftliche Fakultät, … - 2011
the Principal Orthogonal complEment Thresholding (POET) method to explore such an approximate factor structure. The POET … estimator includes the sample covariance matrix, the factor-based covariance matrix (Fan, Fan and Lv, 2008), the thresholding … estimator (Bickel and Levina, 2008) and the adaptive thresholding estimator (Cai and Liu, 2011) as specic examples. We provide …