378 citations · 378 across the 1 of their papers we have counts for
2 papers
math.ST2012
Large Covariance Estimation by Thresholding Principal Orthogonal Complements
Jianqing Fan, Yuan Liao, Martina Mincheva
This paper deals with the estimation of a high-dimensional covariance with a conditional sparsity structure and fast-diverging eigenvalues. By assuming sparse error covariance matr…
stat.ME2011★ 378 cited
High-dimensional covariance matrix estimation in approximate factor models
Jianqing Fan, Yuan Liao, Martina Mincheva
The variance--covariance matrix plays a central role in the inferential theories of high-dimensional factor models in finance and economics. Popular regularization methods of direc…