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Large Covariance Estimation by Thresholding Principal Orthogonal Complements

30 December 2011

Papers citing "Large Covariance Estimation by Thresholding Principal Orthogonal Complements"

42 / 142 papers shown

Title
Discriminant analysis in small and large dimensions Taras Bodnar S. Mazur E. Ngailo Nestor Parolya 54 7 0 08 May 2017
Inverse Moment Methods for Sufficient Forecasting using High-Dimensional Predictors Wei Luo Lingzhou Xue Jiawei Yao Xiufan Yu AI4TS 86 15 0 01 May 2017
Adaptive Estimation in Structured Factor Models with Applications to Overlapping Clustering Xin Bing F. Bunea Y. Ning M. Wegkamp 165 39 0 23 Apr 2017
A Nodewise Regression Approach to Estimating Large Portfolios Laurent Callot Mehmet Caner Esra Ulaşan A. Onder 31 2 0 22 Nov 2016
Optimal shrinkage-based portfolio selection in high dimensions Taras Bodnar Yarema Okhrin Nestor Parolya 67 46 0 07 Nov 2016
Optimal Shrinkage Estimator for High-Dimensional Mean Vector Taras Bodnar Ostap Okhrin Nestor Parolya 38 24 0 28 Oct 2016
Embracing the Blessing of Dimensionality in Factor Models Quefeng Li Guang Cheng Jianqing Fan Yuyan Wang 68 35 0 25 Oct 2016
Post Selection Inference with Kernels M. Yamada Yuta Umezu Kenji Fukumizu Ichiro Takeuchi 73 28 0 12 Oct 2016
On the penalized maximum likelihood estimation of high-dimensional approximate factor model Shaoxin Wang Hu Yang C. Yao 40 0 0 22 Aug 2016
Graph-Guided Banding of the Covariance Matrix Jacob Bien 46 6 0 01 Jun 2016
Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case C. Hafner O. Linton Haihan Tang 48 7 0 16 May 2016
A constrained L1 minimization approach for estimating multiple Sparse Gaussian or Nonparanormal Graphical Models Beilun Wang Ritambhara Singh Yanjun Qi 59 12 0 11 May 2016
A Shrinkage Principle for Heavy-Tailed Data: High-Dimensional Robust Low-Rank Matrix Recovery Jianqing Fan Weichen Wang Ziwei Zhu 119 99 0 28 Mar 2016
Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix-variate location mixture of normal distributions Taras Bodnar S. Mazur Nestor Parolya 38 14 0 17 Feb 2016
Heterogeneity Adjustment with Applications to Graphical Model Inference Jianqing Fan Han Liu Weichen Wang Ziwei Zhu 34 12 0 17 Feb 2016
Two-sample tests for high-dimension, strongly spiked eigenvalue models M. Aoshima K. Yata 20 46 0 08 Feb 2016
Low-rank diffusion matrix estimation for high-dimensional time-changed Lévy processes Denis Belomestny Mathias Trabs 67 12 0 15 Oct 2015
Sufficient Forecasting Using Factor Models Jianqing Fan Lingzhou Xue Jiawei Yao AI4TS 75 78 0 27 May 2015
Asymptotics of Empirical Eigen-structure for Ultra-high Dimensional Spiked Covariance Model Jianqing Fan Weichen Wang 94 42 0 16 Feb 2015
Robust Inference of Risks of Large Portfolios Jianqing Fan Fang Han Han Liu Byron Vickers 28 9 0 10 Jan 2015
Robust Estimation of High-Dimensional Mean Regression Jianqing Fan Quefeng Li Yuyan Wang 112 30 0 08 Oct 2014
Efficiency of change point tests in high dimensional settings J. Aston Claudia Kirch 76 15 0 05 Sep 2014
Estimation of functionals of sparse covariance matrices Jianqing Fan Philippe Rigollet Weichen Wang 74 20 0 21 Aug 2014
The critical threshold level on Kendall's tau statistic concerning minimax estimation of sparse correlation matrices K. Jurczak 33 0 0 15 Aug 2014
Exact and Asymptotic Tests on a Factor Model in Low and Large Dimensions with Applications Taras Bodnar M. Reiß 85 16 0 02 Jul 2014
Estimation of the Global Minimum Variance Portfolio in High Dimensions Taras Bodnar Nestor Parolya W. Schmid 73 85 0 02 Jun 2014
A useful variant of the Davis--Kahan theorem for statisticians Yi Yu Tengyao Wang R. Samworth 108 578 0 04 May 2014
High Dimensional Semiparametric Latent Graphical Model for Mixed Data Jianqing Fan Han Liu Y. Ning H. Zou 103 122 0 29 Apr 2014
When and why are principal component scores a good tool for visualizing high-dimensional data? K. Hellton M. Thoresen 52 6 0 13 Jan 2014
On estimation of the noise variance in high-dimensional probabilistic principal component analysis Damien Passemier Z. Li Jianfeng Yao 74 48 0 18 Aug 2013
Tuning Parameter Selection in Regularized Estimations of Large Covariance Matrices Yixin Fang Binhuan Wang Yang Feng 53 21 0 15 Aug 2013
On the Strong Convergence of the Optimal Linear Shrinkage Estimator for Large Dimensional Covariance Matrix Taras Bodnar Arjun K. Gupta Nestor Parolya 80 48 0 12 Aug 2013
Challenges of Big Data Analysis Jianqing Fan Fang Han Han Liu 145 1,288 0 07 Aug 2013
Optimal Linear Shrinkage Estimator for Large Dimensional Precision Matrix Taras Bodnar Arjun K. Gupta Nestor Parolya 147 52 0 05 Aug 2013
Posterior Contraction Rates of the Phylogenetic Indian Buffet Processes Mengjie Chen Chao Gao Hongyu Zhao 71 9 0 31 Jul 2013
Statistical Inferences Using Large Estimated Covariances for Panel Data and Factor Models Jushan Bai Yuan Liao 71 20 0 10 Jul 2013
Adaptive estimation of the copula correlation matrix for semiparametric elliptical copulas M. Wegkamp Yue Zhao 651 47 0 28 May 2013
Surprising Asymptotic Conical Structure in Critical Sample Eigen-Directions D. Shen Haipeng Shen Hongtu Zhu J. S. Marron 78 29 0 25 Mar 2013
On the sample covariance matrix estimator of reduced effective rank population matrices, with applications to fPCA F. Bunea Luo Xiao 709 92 0 21 Dec 2012
A General Framework For Consistency of Principal Component Analysis D. Shen Haipeng Shen J. S. Marron 147 61 0 12 Nov 2012
Posterior contraction in sparse Bayesian factor models for massive covariance matrices D. Pati A. Bhattacharya Natesh S. Pillai David B. Dunson 104 101 0 16 Jun 2012
Noisy matrix decomposition via convex relaxation: Optimal rates in high dimensions Alekh Agarwal S. Negahban Martin J. Wainwright 248 433 0 23 Feb 2011