activity
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

collaborators
Showing 2021Show all

1 paper · 1 filter

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…