POET
Principal Orthogonal ComplEment Thresholding (POET) Method
Estimate large covariance matrices in approximate factor models by thresholding principal orthogonal complements.
- Version2.0
- R versionunknown
- LicenseGPL-2
- Needs compilation?No
- Last release06/29/2016
Team
Martina Mincheva
Yuan Liao
Jianqing Fan
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