Mining the Factor Zoo: Estimation of Latent Factor Models with
Sufficient Proxies

Mining the Factor Zoo: Estimation of Latent Factor Models with Sufficient Proxies

25 December 2022

Papers citing "Mining the Factor Zoo: Estimation of Latent Factor Models with Sufficient Proxies"

16 / 16 papers shown

Title
Robust Sparse Reduced Rank Regression in High Dimensions Kean Ming Tan Qiang Sun Daniela Witten 48 3 0 18 Oct 2018
Adaptive Huber Regression Qiang Sun Wen-Xin Zhou Jianqing Fan 65 279 0 21 Jun 2017
Inverse Moment Methods for Sufficient Forecasting using High-Dimensional Predictors Wei Luo Lingzhou Xue Jiawei Yao Xiufan Yu AI4TS 45 15 0 01 May 2017
A Shrinkage Principle for Heavy-Tailed Data: High-Dimensional Robust Low-Rank Matrix Recovery Jianqing Fan Weichen Wang Ziwei Zhu 61 98 0 28 Mar 2016
Robust Reduced Rank Regression Yiyuan She Kun Chen 34 58 0 14 Sep 2015
Robust Covariance and Scatter Matrix Estimation under Huber's Contamination Model Mengjie Chen Chao Gao Zhao Ren 55 165 0 01 Jun 2015
On estimation in the reduced-rank regression with a large number of responses and predictors V. Kargin 15 9 0 24 Sep 2014
Regularized estimation in sparse high-dimensional time series models Sumanta Basu George Michailidis AI4TS 63 423 0 17 Nov 2013
Statistical Inferences Using Large Estimated Covariances for Panel Data and Factor Models Jushan Bai Yuan Liao 48 20 0 10 Jul 2013
Factor modeling for high-dimensional time series: Inference for the number of factors Clifford Lam Q. Yao 101 479 0 04 Jun 2012
Statistical analysis of factor models of high dimension Jushan Bai Kunpeng Li 53 330 0 30 May 2012
Large Covariance Estimation by Thresholding Principal Orthogonal Complements Jianqing Fan Yuan Liao Martina Mincheva 55 854 0 30 Dec 2011
High-dimensional covariance matrix estimation in approximate factor models Jianqing Fan Yuan Liao Martina Mincheva 42 396 0 21 May 2011
A note on the group lasso and a sparse group lasso J. Friedman Trevor Hastie Robert Tibshirani 85 836 0 05 Jan 2010
Estimation of (near) low-rank matrices with noise and high-dimensional scaling S. Negahban Martin J. Wainwright 105 569 0 27 Dec 2009
Regularized estimation of large covariance matrices Peter J. Bickel Elizaveta Levina 65 1,384 0 13 Mar 2008

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