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Estimate large covariance matrices in approximate factor models by thresholding principal orthogonal complements.
Package details |
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Author | Jianqing Fan, Yuan Liao, Martina Mincheva |
Maintainer | Martina Mincheva <m.z.mincheva@gmail.com> |
License | GPL-2 |
Version | 2.0 |
Package repository | View on CRAN |
Installation |
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