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Large Covariance Estimation by Thresholding Principal Orthogonal Complements

30 December 2011

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

50 / 142 papers shown

Title
Principal Component Analysis When n < p: Challenges and Solutions Nuwan Weeraratne Lyn Hunt Jason Kurz 46 0 0 21 Mar 2025
Generalized Principal Component Analysis for Large-dimensional Matrix Factor Model Yong He Yujie Hou Haixia Liu Yalin Wang 62 1 0 10 Nov 2024
Joint Estimation of Conditional Mean and Covariance for Unbalanced Panels Damir Filipović P. Schneider 75 0 0 29 Oct 2024
A Pluggable Common Sense-Enhanced Framework for Knowledge Graph Completion Guanglin Niu Bo Li Siling Feng 54 0 0 06 Oct 2024
Consistent Estimation of the High-Dimensional Efficient Frontier Taras Bodnar Nikolaus Hautsch Yarema Okhrin Nestor Parolya 48 0 0 23 Sep 2024
Factor Adjusted Spectral Clustering for Mixture Models Shange Tang Soham Jana Jianqing Fan 112 1 0 22 Aug 2024
Large-scale Time-Varying Portfolio Optimisation using Graph Attention Networks Kamesh Korangi Christophe Mues Cristián Bravo 76 1 0 22 Jul 2024
Sub-Gaussian High-Dimensional Covariance Matrix Estimation under Elliptical Factor Model with 2 + εth Moment Yi Ding Xinghua Zheng 141 0 0 26 Jun 2024
Ridge interpolators in correlated factor regression models -- exact risk analysis Mihailo Stojnic 57 1 0 13 Jun 2024
Factor Strength Estimation in Vector and Matrix Time Series Factor Models Weilin Chen Clifford Lam AI4TS 76 1 0 12 May 2024
Tests for principal eigenvalues and eigenvectors Jianqing Fan Yingying Li Ningning Xia Xinghua Zheng AIFin 85 0 0 11 May 2024
Revisiting Asymptotic Theory for Principal Component Estimators of Approximate Factor Models Peiyun Jiang Yoshimasa Uematsu Takashi Yamagata 19 1 0 01 Nov 2023
Optimal vintage factor analysis with deflation varimax Xin Bing Dian Jin Yuqian Zhang Yuqian Zhang 435 2 0 16 Oct 2023
CARE: Large Precision Matrix Estimation for Compositional Data Shucong Zhang Huiyuan Wang Wei Lin 43 3 0 13 Sep 2023
Scattering Spectra Models for Physics S. Cheng Rudy Morel Erwan Allys Brice Ménard S. Mallat 66 9 0 29 Jun 2023
A Bayesian sparse factor model with adaptive posterior concentration Ilsang Ohn Lizhen Lin Yongdai Kim 44 3 0 29 May 2023
Fast Variational Inference for Bayesian Factor Analysis in Single and Multi-Study Settings Blake Hansen Alejandra Avalos-Pacheco Massimiliano Russo Roberta De Vito 107 5 0 22 May 2023
Covariate-informed reconstruction of partially observed functional data via factor models Maximilian Ofner Siegfried Hormann 22 1 0 22 May 2023
Efficient Computation of High-Dimensional Penalized Generalized Linear Mixed Models by Latent Factor Modeling of the Random Effects H. Heiling N. Rashid Quefeng Li X. Peng Jen Jen Yeh Joseph G. Ibrahim 28 4 0 14 May 2023
Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review M. Barigozzi 61 2 0 21 Mar 2023
fnets: An R Package for Network Estimation and Forecasting via Factor-Adjusted VAR Modelling Dominic Owens Haeran Cho M. Barigozzi 74 1 0 27 Jan 2023
Robustifying Markowitz W. Hardle Yegor Klochkov Alla Petukhina Nikita Zhivotovskiy 57 7 0 28 Dec 2022
Mining the Factor Zoo: Estimation of Latent Factor Models with Sufficient Proxies Runzhe Wan Yingying Li Wenbin Lu Rui Song 62 4 0 25 Dec 2022
On LASSO for High Dimensional Predictive Regression Ziwei Mei Zhentao Shi 42 16 0 14 Dec 2022
Factor-guided functional PCA for high-dimensional functional data Shoudao Wen Huazhen Lin 18 0 0 22 Nov 2022
Interpolating Discriminant Functions in High-Dimensional Gaussian Latent Mixtures Xin Bing M. Wegkamp 64 1 0 25 Oct 2022
Optimal Discriminant Analysis in High-Dimensional Latent Factor Models Xin Bing M. Wegkamp 52 2 0 23 Oct 2022
Factor-Augmented Regularized Model for Hazard Regression Pierre Bayle Jianqing Fan 63 4 0 03 Oct 2022
Automatic sparse PCA for high-dimensional data K. Yata M. Aoshima 32 2 0 29 Sep 2022
Large covariance matrix estimation via penalized log-det heuristics E. Bernardi M. Farné 45 0 0 11 Sep 2022
A Unified Framework for Estimation of High-dimensional Conditional Factor Models Qihui Chen 75 1 0 01 Sep 2022
Treatment Effect Estimation with Unobserved and Heterogeneous Confounding Variables Kevin Jiang Y. Ning CML 46 3 0 29 Jul 2022
Are Latent Factor Regression and Sparse Regression Adequate? Jianqing Fan Zhipeng Lou Mengxin Yu CML 81 24 0 02 Mar 2022
Inferential Theory for Granular Instrumental Variables in High Dimensions Saman Banafti Tae-Hwy Lee 23 3 0 17 Jan 2022
Spiked eigenvalues of high-dimensional sample autocovariance matrices: CLT and applications Daning Bi Xiao Han Adam Nie Yanrong Yang 59 0 0 10 Jan 2022
AR-sieve Bootstrap for High-dimensional Time Series Daning Bi H. Shang Yanrong Yang Huanjun Zhu AI4TS 50 2 0 01 Dec 2021
Classification of high-dimensional data with spiked covariance matrix structure Yin-Jen Chen M. Tang 137 0 0 05 Oct 2021
Multi Anchor Point Shrinkage for the Sample Covariance Matrix (Extended Version) Hubeyb Gurdogan A. Kercheval 31 5 0 01 Sep 2021
Pre-processing with Orthogonal Decompositions for High-dimensional Explanatory Variables Xu Han Ethan X. Fang C. Tang 65 0 0 16 Jun 2021
Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio Taras Bodnar Nestor Parolya Erik Thorsén 42 5 0 03 Jun 2021
Large factor model estimation by nuclear norm plus $l_1$ norm penalization M. Farné A. Montanari 92 0 0 06 Apr 2021
An algebraic estimator for large spectral density matrices M. Barigozzi M. Farné 147 8 0 05 Apr 2021
Deconfounded Score Method: Scoring DAGs with Dense Unobserved Confounding Alexis Bellot M. Schaar CML 75 11 0 28 Mar 2021
Adaptive Robust Large Volatility Matrix Estimation Based on High-Frequency Financial Data Minseok Shin Donggyu Kim Jianqing Fan 32 21 0 25 Feb 2021
Empirical Bayes PCA in high dimensions Xinyi Zhong Chang Su Z. Fan 96 19 0 21 Dec 2020
Spectral Methods for Data Science: A Statistical Perspective Yuxin Chen Yuejie Chi Jianqing Fan Cong Ma 159 173 0 15 Dec 2020
Preprocessing noisy functional data: a multivariate perspective Siegfried Hormann Fatima Jammoul 32 4 0 10 Dec 2020
Consistently recovering the signal from noisy functional data Siegfried Hormann Fatima Jammoul 21 11 0 09 Dec 2020
Selective Inference for Hierarchical Clustering Lucy L. Gao Jacob Bien Daniela Witten 65 98 0 05 Dec 2020
A factor-adjusted multiple testing of general alternatives M. Du Lan Wu 32 0 0 19 Oct 2020