Estimation of Large Precision Matrix for High Dimensional Mean-Variance Optimization
碩士 === 國立交通大學 === 統計學研究所 === 104 === Recently, it has drawn attention on estimation of high-dimensional covariance matrices by using factor analysis. However, it is very difficult to apply factor analysis estimation of high-dimensional precision matrices. Because one of the commonly used conditions...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2016
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| Online Access: | http://ndltd.ncl.edu.tw/handle/59471158651126773787 |