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Large factor model estimation by nuclear norm plus $l_1$ norm penalization

Large factor model estimation by nuclear norm plus l1l_1 norm penalization

M. Farné
A. Montanari
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Papers citing "Large factor model estimation by nuclear norm plus $l_1$ norm penalization"

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Title
Statistical analysis of factor models of high dimension
Statistical analysis of factor models of high dimension
Jushan Bai
Kunpeng Li
105
330
0
30 May 2012

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