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Block-diagonal idiosyncratic covariance estimation in high-dimensional factor models for financial time series.

Lucija ZignicStjepan BegusicZvonko Kostanjcar
Published in: J. Comput. Sci. (2024)
Keyphrases
  • high dimensional
  • parameter estimation
  • financial time series
  • block diagonal
  • data sets
  • dimensionality reduction
  • model selection