搜索结果: 1-1 共查到“统计法学 Efficient estimation”相关记录1条 . 查询时间(0.109 秒)
Efficient Estimation of Approximate Factor Models via Regularized Maximum Likelihood
High dimensionality unknown factors principal components sparse matrix conditional sparse thresholding cross-sectional correlation penalized maximum likelihood adaptive lasso heteroskedasticity
2012/11/23
We study the estimation of a high dimensional approximate factor model in the presence of both cross sectional dependence and heteroskedasticity. The classical method of principal components analysis ...