High-dimensional covariance matrix estimation in approximate factor models1

Keyphrases

• Covariance Matrix Estimation 100%
• High-dimensional Covariance Matrix 100%
• Idiosyncratic Component 100%
• Sparsity 50%
• Popular 50%
• High Dimension 50%
• Covariance 50%
• Regularization Method 50%
• Covariance Matrix 50%
• Financial Problems 50%
• Statist 50%
• Inferential Theory 50%
• Factor Model 50%
• Adaptive Thresholding 50%
• Error Covariance Matrix 50%
• High-dimensional Factor Models 50%
• Cross-sectional Correlation 50%
• Sparse Error 50%
• Variance-covariance Matrix 50%

Mathematics

• Approximates 100%
• Covariance Matrix 100%
• Covariance Matrix Estimation 100%
• Regularization 50%
• Covariance 50%
• Thresholding 50%
• Classical Method 50%
• Error Covariance 50%
• Central Role 50%
• Common Factor 50%
• Variance Covariance Matrix 50%

Economics, Econometrics and Finance

• Factor Model 100%
• Finance 50%