articleJournal of EconometricsSep 19, 2008Closed access

High dimensional covariance matrix estimation using a factor model

JFJianqing FanYFYingying FanJLJinchi Lv

Princeton University · University of Southern California

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Abstract

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732
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100%
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Authors

3

Topics & keywords

Topics
Keywords
  • Estimation of covariance matrices
  • Covariance matrix
  • Rational quadratic covariance function
  • Mathematics
  • Estimator
  • Matérn covariance function
  • Law of total covariance
  • Curse of dimensionality
UN Sustainable Development Goals
  • Decent work and economic growth
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