POET: Principal Orthogonal ComplEment Thresholding (POET) method

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

Version: 1.0
Published: 2012-11-07
Author: Jianqing Fan, Yuan Liao, Martina Mincheva
Maintainer: Martina Mincheva <mincheva at princeton.edu>
License: GPL-2
NeedsCompilation: no
CRAN checks: POET results

Downloads:

Reference manual: POET.pdf
Package source: POET_1.0.tar.gz
OS X binary: POET_1.0.tgz
Windows binary: POET_1.0.zip

Reverse dependencies:

Reverse depends: pfa