POET: Principal Orthogonal ComplEment Thresholding (POET) Method

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

Getting started

Package details

AuthorJianqing Fan, Yuan Liao, Martina Mincheva
MaintainerMartina Mincheva <[email protected]>
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:

Try the POET package in your browser

Any scripts or data that you put into this service are public.

POET documentation built on May 29, 2017, 1:02 p.m.