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An overview of the estimation of large covariance and precision matrices
Jianqing Fan
, Yuan Liao, Han Liu
Operations Research & Financial Engineering
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Article
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peer-review
216
Scopus citations
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Keyphrases
Conditional Correlation
25%
Covariance Matrix
25%
Economic Data
50%
Factor Model
25%
Financial Data
50%
Large Covariance Matrix
100%
Marginal Correlation
25%
Model-based Method
25%
Multivariate Analysis
25%
Precision Matrix
100%
Ranking Method
25%
Selective Review
25%
Statistical Analysis
25%
Mathematics
Conditionals
25%
Covariance
100%
Covariance Matrix
25%
Marginals
25%
Matrix (Mathematics)
100%
Multivariate Analysis
25%
Statistical Analysis
25%
Computer Science
Covariance Matrix
100%
Financial Data
50%
Precision Matrix
100%
Engineering
Covariance Matrix
100%
Marginals
100%
Earth and Planetary Sciences
Covariance
100%
Multivariate Analysis
25%
Economics, Econometrics and Finance
Factor Model
100%