Large covariance estimation by thresholding principal orthogonal complements

Mathematics

• Covariance Estimation 100%
• Thresholding 84%
• Complement 54%
• Covariance matrix 50%
• Sparsity 29%
• Adaptive Thresholding 25%
• Estimator 25%
• Rate of Convergence 21%
• Factor Structure 21%
• Approximate Model 17%
• Factor Models 17%
• Sample Covariance Matrix 17%
• Factor Analysis 16%
• Sparse matrix 16%
• High-dimensional Data 16%
• Principal Component Analysis 14%
• Dimensionality 14%
• Vanish 12%
• High-dimensional 11%
• Simulation Study 9%
• Unknown 9%
• Eigenvalue 8%
• Norm 8%

Business & Economics

• Covariance Matrix 77%
• Rate of Convergence 34%
• Estimator 33%
• Factors 24%
• Principal Component Analysis 19%
• Factor Loadings 17%
• Factor Analysis 17%
• Eigenvalues 17%
• Portfolio Allocation 17%
• Dimensionality 15%
• Simulation Study 13%