Martina Mincheva

Princeton University

22 Chambers Street

Princeton, NJ 08544-0708

United States

SCHOLARLY PAPERS

2

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CITATIONS
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Scholarly Papers (2)

1.

Large Covariance Estimation by Thresholding Principal Orthogonal Complements

Number of pages: 57 Posted: 31 Dec 2011 Last Revised: 05 Jan 2013
Jianqing Fan, Yuan Liao and Martina Mincheva
Princeton University - Bendheim Center for Finance, Rutgers, The State University of New Jersey - New Brunswick/Piscataway and Princeton University
Downloads 821 (28,211)
Citation 55

Abstract:

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High dimensionality, approximate factor model, unknown factors, principal components, sparse matrix, low-rank matrix, thresholding, cross-sectional correlation

2.

High Dimensional Covariance Matrix Estimation in Approximate Factor Models

Number of pages: 29 Posted: 23 May 2011 Last Revised: 26 May 2011
Jianqing Fan, Yuan Liao and Martina Mincheva
Princeton University - Bendheim Center for Finance, Rutgers, The State University of New Jersey - New Brunswick/Piscataway and Princeton University
Downloads 269 (111,362)
Citation 85

Abstract:

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sparse estimation, thresholding, cross-sectional correlation, common factors, idiosyncratic, seemingly unrelated regression