Pivotal variable detection of the covariance matrix and its application to high-dimensional factor models

Junlong Zhao, Hongyu Zhao, Lixing Zhu. Pivotal variable detection of the covariance matrix and its application to high-dimensional factor models. Statistics and Computing, 28(4):775-793, 2018. [doi]

Authors

Junlong Zhao

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Hongyu Zhao

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Lixing Zhu

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