24 citations · 56 across the 8 of their papers we have counts for
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stat.ME2021
Robust selection of predictors and conditional outlier detection in a perturbed large-dimensional regression context
Matteo Farnè, Angelos Vouldis
This paper presents a fast methodology, called ROBOUT, to identify outliers in a response variable conditional on a set of linearly related predictors, retrieved from a large granu…
math.ST2021
Large factor model estimation by nuclear norm plus norm penalization
Matteo Farnè, Angela Montanari
This paper provides a comprehensive estimation framework via nuclear norm plus norm penalization for high-dimensional approximate factor models with a sparse residual covaria…
math.ST2021
An algebraic estimator for large spectral density matrices
Matteo Barigozzi, Matteo Farnè
We propose a new estimator of high-dimensional spectral density matrices, called UNshrunk ALgebraic Spectral Estimator (UNALSE), under the assumption of an underlying low rank plus…