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20172021
most citedA bootstrap test to detect prominent Granger-causalities across frequencies

19 citations · 33 across the 6 of their papers we have counts for

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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…