Large covariance estimation through elliptical factor models

Mathematics

• Covariance Estimation 100%
• Factor Models 88%
• Thresholding 42%
• Framework 40%
• Complement 27%
• Covariance Matrix Estimation 26%
• Kendall's tau 23%
• Elliptical Distribution 23%
• Conditional Model 22%
• Approximate Model 22%
• Sample Covariance Matrix 21%
• Matrix Norm 21%
• Dimensional Analysis 21%
• Optimal Rate of Convergence 20%
• Graphical Models 20%
• Robust Estimators 20%
• Covariance Structure 19%
• Principal Component Analysis 18%
• Sparsity 18%
• High-dimensional 14%
• Numerical Results 11%
• Sufficient Conditions 8%

Business & Economics

• Covariance Matrix Estimation 29%
• Elliptical Distribution 27%
• Kendall's tau 27%
• Graphical Models 24%
• Robust Estimators 24%
• Principal Component Analysis 23%
• Rate of Convergence 21%
• Covariance Matrix 19%
• Matrix 15%