Large covariance estimation by thresholding principal orthogonal complements

Keyphrases

• Adaptive Thresholding 50%
• Approximate Factor Model 50%
• Asymptotic Results 50%
• Conditional Sparsity 50%
• Convergence Rate 50%
• Covariance Estimation 100%
• Covariance Matrix 50%
• Cross-sectional Correlation 50%
• Diverging Eigenvalues 50%
• Error Covariance Matrix 50%
• Factor Analysis 50%
• Factor Loadings 50%
• High-dimensional Covariance 50%
• High-dimensional Data 50%
• Orthogonal Complement 100%
• Portfolio Allocation 50%
• Principal Coordinate Analysis (PCoA) 50%
• Real Data Applications 50%
• Residual Covariance Matrix 50%
• Sample Covariance Matrix 50%
• Simulation Study 50%
• Sparse Covariance Matrix 50%
• Sparse Error 50%
• Sparse Residual 50%
• Sparsity 50%
• Sparsity Structure 50%
• Threshold Estimation 100%
• Threshold Method 50%
• Uniform Convergence 50%
• Unobservable Factors 50%
• Unobserved Factors 50%

Mathematics

• Approximates 50%
• Asymptotics 25%
• Conditionals 50%
• Covariance 100%
• Covariance Matrix 100%
• Dimensional Data 25%
• Eigenvalue 25%
• Error Covariance 25%
• Factor Analysis 25%
• Orthogonal Complement 100%
• Principal Component Analysis 25%
• Real Data 25%
• Residuals 25%
• Sample Covariance Matrix 25%
• Simulation Study 25%
• Thresholding 100%
• Unobserved Factor 25%

Economics, Econometrics and Finance

• Factor Model 100%
• Principal Components 100%