Pivotal variable detection of the covariance matrix and its application to high-dimensional factor models

Keyphrases

• Covariance Matrix 100%
• Non-sparse 100%
• Variable Detection 100%
• High-dimensional Factor Models 100%
• Detection Method 50%
• Screening Method 50%
• Factor Model 50%
• Sure Independence Screening 50%
• Two-step Procedure 50%
• Ridge Ratio 50%
• Row-sparsity 50%
• High-dimensional Covariance Matrix 50%
• Number of Rows 50%
• Dense Rows 50%
• Ratio Method 50%

Mathematics

• Covariance Matrix 100%
• Nonzero Element 100%
• Step Procedure 50%
• Ridge 50%
• Detection Method 50%
• Ratio Method 50%
• Common Factor 50%