Large Covariance Estimation by Thresholding Principal Orthogonal Complements

30 December 2011

Papers citing "Large Covariance Estimation by Thresholding Principal Orthogonal Complements"

23 / 23 papers shown

Title
Joint Estimation of Conditional Mean and Covariance for Unbalanced Panels Damir Filipović P. Schneider 36 0 0 29 Oct 2024
Optimal vintage factor analysis with deflation varimax Xin Bing Dian Jin Yuqian Zhang Yuqian Zhang 194 2 0 16 Oct 2023
Inverse Moment Methods for Sufficient Forecasting using High-Dimensional Predictors Wei Luo Lingzhou Xue Jiawei Yao Xiufan Yu AI4TS 60 15 0 01 May 2017
Statistical Significance of Clustering using Soft Thresholding Hanwen Huang Yufeng Liu M. Yuan J. S. Marron 98 64 0 25 May 2013
Optimal rates of convergence for sparse covariance matrix estimation T. Cai Harrison H. Zhou 125 246 0 13 Feb 2013
Convergence of the largest eigenvalue of normalized sample covariance matrices when p and n both tend to infinity with their ratio converging to zero B. Chen G. Pan 35 33 0 23 Nov 2012
Large-Scale Sparse Principal Component Analysis with Application to Text Data Youwei Zhang L. Ghaoui 68 73 0 26 Oct 2012
Posterior contraction in sparse Bayesian factor models for massive covariance matrices D. Pati A. Bhattacharya Natesh S. Pillai David B. Dunson 76 101 0 16 Jun 2012
Factor modeling for high-dimensional time series: Inference for the number of factors Clifford Lam Q. Yao 126 479 0 04 Jun 2012
Statistical analysis of factor models of high dimension Jushan Bai Kunpeng Li 97 330 0 30 May 2012
Covariate assisted screening and estimation Z. Ke Jiashun Jin Jianqing Fan 65 21 0 21 May 2012
Minimax bounds for sparse PCA with noisy high-dimensional data Aharon Birnbaum Iain M. Johnstone B. Nadler D. Paul 86 181 0 05 Mar 2012
High Dimensional Semiparametric Gaussian Copula Graphical Models Han Liu Fang Han M. Yuan John D. Lafferty Larry A. Wasserman 82 407 0 10 Feb 2012
Sparse principal component analysis and iterative thresholding Zongming Ma 76 333 0 12 Dec 2011
High-dimensional covariance matrix estimation in approximate factor models Jianqing Fan Yuan Liao Martina Mincheva 61 396 0 21 May 2011
Consistency of Sparse PCA in High Dimension, Low Sample Size Contexts D. Shen Haipeng Shen J. S. Marron 67 122 0 21 Apr 2011
Noisy matrix decomposition via convex relaxation: Optimal rates in high dimensions Alekh Agarwal S. Negahban Martin J. Wainwright 167 432 0 23 Feb 2011
PCA consistency in high dimension, low sample size context Sungkyu Jung J. S. Marron 63 319 0 19 Nov 2009
Covariance regularization by thresholding Peter J. Bickel Elizaveta Levina 142 1,270 0 20 Jan 2009
Structural shrinkage of nonparametric spectral estimators for multivariate time series H. Bohm R. Sachs 47 15 0 30 Apr 2008
High-dimensional analysis of semidefinite relaxations for sparse principal components Arash A. Amini Martin J. Wainwright 93 312 0 27 Mar 2008
Simultaneous analysis of Lasso and Dantzig selector Peter J. Bickel Yaácov Ritov Alexandre B. Tsybakov 292 2,527 0 07 Jan 2008
Sparsistency and rates of convergence in large covariance matrix estimation Clifford Lam Jianqing Fan 162 608 0 26 Nov 2007