标题
Large covariance estimation by thresholding principal orthogonal complements
作者
关键词
-
出版物
JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY
Volume 75, Issue 4, Pages 603-680
出版商
Wiley
发表日期
2013-08-12
DOI
10.1111/rssb.12016
参考文献
相关参考文献
注意:仅列出部分参考文献,下载原文获取全部文献信息。- High-dimensional semiparametric Gaussian copula graphical models
- (2013) Han Liu et al. ANNALS OF STATISTICS
- High-dimensional covariance matrix estimation in approximate factor models
- (2012) Jianqing Fan et al. ANNALS OF STATISTICS
- Noisy matrix decomposition via convex relaxation: Optimal rates in high dimensions
- (2012) Alekh Agarwal et al. ANNALS OF STATISTICS
- Factor modeling for high-dimensional time series: Inference for the number of factors
- (2012) Clifford Lam et al. ANNALS OF STATISTICS
- Statistical analysis of factor models of high dimension
- (2012) Jushan Bai et al. ANNALS OF STATISTICS
- Convergence of the largest eigenvalue of normalized sample covariance matrices when $p$ and $n$ both tend to infinity with their ratio converging to zero
- (2012) B.B. Chen et al. BERNOULLI
- Factor profiled sure independence screening
- (2012) H. Wang BIOMETRIKA
- Boundary behavior in High Dimension, Low Sample Size asymptotics of PCA
- (2012) Sungkyu Jung et al. JOURNAL OF MULTIVARIATE ANALYSIS
- Consistency of sparse PCA in High Dimension, Low Sample Size contexts
- (2012) Dan Shen et al. JOURNAL OF MULTIVARIATE ANALYSIS
- Estimating False Discovery Proportion Under Arbitrary Covariance Dependence
- (2012) Jianqing Fan et al. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
- Vast Portfolio Selection With Gross-Exposure Constraints
- (2012) Jianqing Fan et al. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
- Positive-Definite ℓ1-Penalized Estimation of Large Covariance Matrices
- (2012) Lingzhou Xue et al. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
- Condition-number-regularized covariance estimation
- (2012) Joong-Ho Won et al. JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY
- Efficient emulators of computer experiments using compactly supported correlation functions, with an application to cosmology
- (2011) Cari G. Kaufman et al. Annals of Applied Statistics
- Estimation of latent factors for high-dimensional time series
- (2011) C. Lam et al. BIOMETRIKA
- Weak and strong cross-section dependence and estimation of large panels
- (2011) Alexander Chudik et al. Econometrics Journal
- A Flexible Estimating Equations Approach for Mapping Function-Valued Traits
- (2011) Hao Xiong et al. GENETICS
- A two-step estimator for large approximate dynamic factor models based on Kalman filtering
- (2011) Catherine Doz et al. JOURNAL OF ECONOMETRICS
- Robust principal component analysis?
- (2011) Emmanuel J. Candès et al. JOURNAL OF THE ACM
- Adaptive Thresholding for Sparse Covariance Matrix Estimation
- (2011) Tony Cai et al. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
- Dynamic factors in the presence of blocks
- (2010) Marc Hallin et al. JOURNAL OF ECONOMETRICS
- Correlatedz-Values and the Accuracy of Large-Scale Statistical Estimates
- (2010) Bradley Efron JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
- A Singular Value Thresholding Algorithm for Matrix Completion
- (2010) Jian-Feng Cai et al. SIAM JOURNAL ON OPTIMIZATION
- Improved penalization for determining the number of factors in approximate factor models
- (2010) Lucia Alessi et al. STATISTICS & PROBABILITY LETTERS
- Covariance regularization by thresholding
- (2009) Peter J. Bickel et al. ANNALS OF STATISTICS
- High-dimensional analysis of semidefinite relaxations for sparse principal components
- (2009) Arash A. Amini et al. ANNALS OF STATISTICS
- PCA consistency in high dimension, low sample size context
- (2009) Sungkyu Jung et al. ANNALS OF STATISTICS
- Sparsistency and rates of convergence in large covariance matrix estimation
- (2009) Clifford Lam et al. ANNALS OF STATISTICS
- Simultaneous analysis of Lasso and Dantzig selector
- (2009) Peter J. Bickel et al. ANNALS OF STATISTICS
- Nonparametric Modeling of Longitudinal Covariance Structure in Functional Mapping of Quantitative Trait Loci
- (2009) John Stephen Yap et al. BIOMETRICS
- A penalized matrix decomposition, with applications to sparse principal components and canonical correlation analysis
- (2009) D. M. Witten et al. BIOSTATISTICS
- Testing Hypotheses About the Number of Factors in Large Factor Models
- (2009) ECONOMETRICA
- The econometrics of mean-variance efficiency tests: a survey
- (2009) Enrique Sentana Econometrics Journal
- A Testing Procedure for Determining the Number of Factors in Approximate Factor Models With Large Datasets
- (2009) George Kapetanios JOURNAL OF BUSINESS & ECONOMIC STATISTICS
- High-Dimensional Sparse Factor Modeling: Applications in Gene Expression Genomics
- (2009) Carlos M. Carvalho et al. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
- Covariance Tapering for Likelihood-Based Estimation in Large Spatial Data Sets
- (2009) Cari G. Kaufman et al. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
- On Consistency and Sparsity for Principal Components Analysis in High Dimensions
- (2009) Iain M. Johnstone et al. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
- Generalized Thresholding of Large Covariance Matrices
- (2009) Adam J. Rothman et al. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
- Invariant co-ordinate selection
- (2009) David E. Tyler et al. JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY
- Central limit theorems for eigenvalues in a spiked population model
- (2008) Zhidong Bai et al. ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES
- High dimensional covariance matrix estimation using a factor model
- (2008) Jianqing Fan et al. JOURNAL OF ECONOMETRICS
- Shrinkage estimation in the frequency domain of multivariate time series
- (2008) Hilmar Böhm et al. JOURNAL OF MULTIVARIATE ANALYSIS
- Statistical Significance of Clustering for High-Dimension, Low–Sample Size Data
- (2008) Yufeng Liu et al. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
- Sure independence screening for ultrahigh dimensional feature space
- (2008) Jianqing Fan et al. JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY
- A general framework for multiple testing dependence
- (2008) J. T. Leek et al. PROCEEDINGS OF THE NATIONAL ACADEMY OF SCIENCES OF THE UNITED STATES OF AMERICA
- Principal components analysis of nonstationary time series data
- (2008) Joseph Ryan G. Lansangan et al. STATISTICS AND COMPUTING
- Optimized multi-stage designs controlling the false discovery or the family-wise error rate
- (2008) Sonja Zehetmayer et al. STATISTICS IN MEDICINE
- Structural shrinkage of nonparametric spectral estimators for multivariate time series
- (2008) Hilmar Böhm et al. Electronic Journal of Statistics
- Sparse principal component analysis via regularized low rank matrix approximation
- (2007) Haipeng Shen et al. JOURNAL OF MULTIVARIATE ANALYSIS
Find Funding. Review Successful Grants.
Explore over 25,000 new funding opportunities and over 6,000,000 successful grants.
ExploreDiscover Peeref hubs
Discuss science. Find collaborators. Network.
Join a conversation