Sfoglia per Autore
Discussion on "Large covariance estimation by thresholding principal orthogonal complements” by J. Fan, Y. Liao and M. Mincheva
2013 Matteo Farnè
Book of Abstracts of the Seventh International Workshop on Simulation, Rimini, p.135, Quaderni di Dipartimento. Serie Ricerche 2013, n. 3, ISSN 1973-9346
2013 Farnè, Matteo
Regularized covariance matrix estimation via composite minimization
2014 Matteo Farnè
Estimating large covariance matrices via low rank plus sparse decomposition
2015 Matteo Farnè
Large covariance matrix estimation by composite minimization
2015 Matteo Farnè
Large Covariance Matrix Estimation by Composite Minimization
2016 Matteo Farnè
An Algorithm to Simulate VMA Processes Having a Spectrum with Fixed Condition Number
2016 Farné, Matteo
Different estimators of the spectral matrix: an empirical comparison testing a new shrinkage estimator
2016 Matteo Farné; Angela Montanari
Business models of the banks in the euro area
2017 Matteo Farnè; Angelos Vouldis
Testing Granger-causality on macroeconomic time series: a bootstrap approach
2017 Matteo Farnè
Factor model estimation by composite minimization
2017 Matteo Farnè
A large covariance matrix estimator under intermediate spikiness regimes
2018 Matteo Farnè; Angela Montanari
R package "grangers"
2018 Matteo Farnè; Angela Montanari
AN ALGEBRAIC ESTIMATOR FOR LARGE SPECTRAL MATRICES
2018 Matteo Farnè;Matteo Barigozzi
MATLAB package for clustering methodology
2018 Matteo Farnè;Angelos Vouldis
Factor model estimation by composite minimization
2018 Matteo Farnè;Angela Montanari
A bootstrap test to detect prominent Granger-causalities across frequencies
2018 Matteo Farnè; Angela Montanari
Factor model estimation by composite minimization
2018 Matteo Farnè;Angela Montanari
A methodology for automatised outlier detection in high-dimensional datasets: an application to euro area banks’ supervisory data
2018 Matteo Farnè; Angelos Vouldis
Matlab package for UNALCE estimator
2018 Matteo Farnè; Angela Montanari
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