Lucija Zignic, Stjepan Begusic, Zvonko Kostanjcar. Estimating the Block-Diagonal Idiosyncratic Covariance in High-Dimensional Factor Models. In 30th International Conference on Software, Telecommunications and Computer Networks, SoftCOM 2022, Split, Croatia, September 22-24, 2022. pages 1-6, IEEE, 2022. [doi]
Abstract is missing.