High-dimensional covariance matrix estimation in approximate factor models

21 May 2011

Papers citing "High-dimensional covariance matrix estimation in approximate factor models"

4 / 4 papers shown

Title
Optimal rates of convergence for sparse covariance matrix estimation T. Cai Harrison H. Zhou 125 246 0 13 Feb 2013
Covariance regularization by thresholding Peter J. Bickel Elizaveta Levina 149 1,270 0 20 Jan 2009
Regularized estimation of large covariance matrices Peter J. Bickel Elizaveta Levina 95 1,384 0 13 Mar 2008
Sparsistency and rates of convergence in large covariance matrix estimation Clifford Lam Jianqing Fan 166 608 0 26 Nov 2007