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  • Search: subject:"conditional sparse"
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Year of publication
Subject
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High dimensionality 2 Adaptive LASSO 1 CAPM 1 Conditional sparse 1 Correlation 1 Cross-sectional correlation 1 Estimation theory 1 Factor analysis 1 Faktorenanalyse 1 Heteroskedasticity 1 Korrelation 1 Maximum likelihood estimation 1 Maximum-Likelihood-Schätzung 1 Penalized maximum likelihood 1 Principal components 1 SCAD 1 Schätztheorie 1 Thresholding 1 Unknown factors 1 adaptive lasso 1 conditional sparse 1 cross-sectional correlation 1 heteroskedasticity 1 penalized maximum likelihood 1 principal components 1 sparse matrix 1 thresholding 1 unknown factors 1
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Online availability
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Free 1 Undetermined 1
Type of publication
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Article 1 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Bai, Jushan 2 Liao, Yuan 2
Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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Journal of econometrics 1 MPRA Paper 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Efficient Estimation of Approximate Factor Models
Bai, Jushan; Liao, Yuan - Volkswirtschaftliche Fakultät, … - 2012
We study the estimation of a high dimensional approximate factor model in the presence of both cross sectional dependence and heteroskedasticity. The classical method of principal components analysis (PCA) does not efficiently estimate the factor loadings or common factors because it essentially...
Persistent link: https://www.econbiz.de/10011112633
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Cover Image
Efficient estimation of approximate factor models via penalized maximum likelihood
Bai, Jushan; Liao, Yuan - In: Journal of econometrics 191 (2016) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10011594307
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