POET: Principal Orthogonal ComplEment Thresholding (POET) Method

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Estimate large covariance matrices in approximate factor models by thresholding principal orthogonal complements.

Author
Jianqing Fan, Yuan Liao, Martina Mincheva
Date of publication
2016-06-29 02:33:30
Maintainer
Martina Mincheva <m.z.mincheva@gmail.com>
License
GPL-2
Version
2.0

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Man pages

POET
Principal Orthogonal ComplEment Thresholding (POET) method
POETCmin
Cmin - Minimum threshold constant
POETKhat
Khat - number of factors in approximate factor model

Files in this package

POET
POET/NAMESPACE
POET/R
POET/R/zPOET.R
POET/MD5
POET/DESCRIPTION
POET/man
POET/man/POETCmin.Rd
POET/man/POET.Rd
POET/man/POETKhat.Rd