{"id":"https://openalex.org/W149070604","doi":"https://doi.org/10.2139/ssrn.957599","title":"Large Dimensional Covariance Matrix Estimation Via a Factor Model","display_name":"Large Dimensional Covariance Matrix Estimation Via a Factor Model","publication_year":2006,"publication_date":"2006-01-01","ids":{"openalex":"https://openalex.org/W149070604","doi":"https://doi.org/10.2139/ssrn.957599","mag":"149070604"},"language":"en","primary_location":{"id":"doi:10.2139/ssrn.957599","doi":"https://doi.org/10.2139/ssrn.957599","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.957599","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SSRN Electronic Journal","raw_type":"journal-article"},"volume":null,"type":"preprint","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.2139/ssrn.957599","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5100664286","display_name":"Jianqing Fan","orcid":"https://orcid.org/0000-0003-3250-7677","observed_orcids":["https://orcid.org/0000-0003-3250-7677"]},"institutions":[{"id":"https://openalex.org/I20089843","display_name":"Princeton University","ror":"https://ror.org/00hx57361","country_code":"US","type":"education","lineage":["https://openalex.org/I20089843"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Jianqing Fan","raw_affiliation_strings":["Princeton University - Bendheim Center for Finance, 26 Prospect Avenue, Princeton, NJ 08540, United States","Princeton University, Bendheim Center for Finance"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Princeton University - Bendheim Center for Finance, 26 Prospect Avenue, Princeton, NJ 08540, United States","institution_ids":["https://openalex.org/I20089843"]},{"raw_affiliation_string":"Princeton University, Bendheim Center for Finance","institution_ids":["https://openalex.org/I20089843"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5029944120","display_name":"Yingying Fan","orcid":"https://orcid.org/0000-0003-1726-4654","observed_orcids":["https://orcid.org/0000-0003-1726-4654"]},"institutions":[{"id":"https://openalex.org/I20089843","display_name":"Princeton University","ror":"https://ror.org/00hx57361","country_code":"US","type":"education","lineage":["https://openalex.org/I20089843"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Yingying Fan","raw_affiliation_strings":["Princeton University, 22 Chambers Street, Princeton, NJ 08544-0708, United States","Princeton University#TAB#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Princeton University, 22 Chambers Street, Princeton, NJ 08544-0708, United States","institution_ids":["https://openalex.org/I20089843"]},{"raw_affiliation_string":"Princeton University#TAB#","institution_ids":["https://openalex.org/I20089843"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5034015361","display_name":"Jinchi Lv","orcid":"https://orcid.org/0000-0002-5881-9591","observed_orcids":["https://orcid.org/0000-0002-5881-9591"]},"institutions":[{"id":"https://openalex.org/I20089843","display_name":"Princeton University","ror":"https://ror.org/00hx57361","country_code":"US","type":"education","lineage":["https://openalex.org/I20089843"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Jinchi Lv","raw_affiliation_strings":["Princeton University, 22 Chambers Street, Princeton, NJ 08544-0708, United States","Princeton University#TAB#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Princeton University, 22 Chambers Street, Princeton, NJ 08544-0708, United States","institution_ids":["https://openalex.org/I20089843"]},{"raw_affiliation_string":"Princeton University#TAB#","institution_ids":["https://openalex.org/I20089843"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5100664286"],"corresponding_institution_ids":["https://openalex.org/I20089843"],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":false,"cited_by_count":16,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.44920000433921814,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.44920000433921814,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11716","display_name":"Random Matrices and Applications","score":0.2964000105857849,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10136","display_name":"Statistical Methods and Inference","score":0.21780000627040863,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/covariance-matrix-estimation","display_name":"covariance matrix estimation","score":0.9010000228881836},{"id":"https://openalex.org/keywords/high-dimensional-data","display_name":"high-dimensional data","score":0.7210000157356262},{"id":"https://openalex.org/keywords/factor-models","display_name":"factor models","score":0.777999997138977},{"id":"https://openalex.org/keywords/multifactor-models","display_name":"multi-factor models","score":0.777999997138977},{"id":"https://openalex.org/keywords/arbitrage-pricing-theory","display_name":"arbitrage pricing theory","score":0.8600000143051147},{"id":"https://openalex.org/keywords/convergence-rate","display_name":"convergence rate","score":0.7689999938011169},{"id":"https://openalex.org/keywords/asymptotic-normality","display_name":"asymptotic normality","score":1.0},{"id":"https://openalex.org/keywords/sample-covariance-matrix","display_name":"sample covariance matrix","score":0.8820000290870667},{"id":"https://openalex.org/keywords/asset-allocation","display_name":"asset allocation","score":0.9399999976158142},{"id":"https://openalex.org/keywords/risk-management","display_name":"risk management","score":0.9079999923706055},{"id":"https://openalex.org/keywords/dimensionality-reduction","display_name":"dimensionality reduction","score":0.5839999914169312}],"concepts":[{"id":"https://openalex.org/C180877172","wikidata":"https://www.wikidata.org/wiki/Q5401390","display_name":"Estimation of covariance matrices","level":3,"score":0.6129592061042786},{"id":"https://openalex.org/C185142706","wikidata":"https://www.wikidata.org/wiki/Q1134404","display_name":"Covariance matrix","level":2,"score":0.5083882212638855},{"id":"https://openalex.org/C10879293","wikidata":"https://www.wikidata.org/wiki/Q726474","display_name":"Factor analysis","level":2,"score":0.45818275213241577},{"id":"https://openalex.org/C2781039887","wikidata":"https://www.wikidata.org/wiki/Q1391724","display_name":"Factor (programming language)","level":2,"score":0.4344252347946167},{"id":"https://openalex.org/C178650346","wikidata":"https://www.wikidata.org/wiki/Q201984","display_name":"Covariance","level":2,"score":0.4298757314682007},{"id":"https://openalex.org/C106487976","wikidata":"https://www.wikidata.org/wiki/Q685816","display_name":"Matrix (chemical analysis)","level":2,"score":0.4296118915081024},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.40693703293800354},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.3648478388786316},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.3596087694168091},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.3444458246231079},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.34212130308151245},{"id":"https://openalex.org/C39432304","wikidata":"https://www.wikidata.org/wiki/Q188847","display_name":"Environmental science","level":0,"score":0.3309330642223358},{"id":"https://openalex.org/C185592680","wikidata":"https://www.wikidata.org/wiki/Q2329","display_name":"Chemistry","level":0,"score":0.17259761691093445},{"id":"https://openalex.org/C43617362","wikidata":"https://www.wikidata.org/wiki/Q170050","display_name":"Chromatography","level":1,"score":0.10759630799293518},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.2139/ssrn.957599","doi":"https://doi.org/10.2139/ssrn.957599","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.957599","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SSRN Electronic Journal","raw_type":"journal-article"}],"best_oa_location":{"id":"doi:10.2139/ssrn.957599","doi":"https://doi.org/10.2139/ssrn.957599","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.957599","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SSRN Electronic Journal","raw_type":"journal-article"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":53,"referenced_works":["https://openalex.org/W1520752838","https://openalex.org/W1571776175","https://openalex.org/W1584444527","https://openalex.org/W1963558577","https://openalex.org/W1965752946","https://openalex.org/W1978409019","https://openalex.org/W1985683489","https://openalex.org/W1989885743","https://openalex.org/W1995834279","https://openalex.org/W2008681993","https://openalex.org/W2009358468","https://openalex.org/W2010681793","https://openalex.org/W2010747041","https://openalex.org/W2010997253","https://openalex.org/W2014165366","https://openalex.org/W2014360396","https://openalex.org/W2015856032","https://openalex.org/W2017218474","https://openalex.org/W2017413905","https://openalex.org/W2022115022","https://openalex.org/W2026786624","https://openalex.org/W2038215580","https://openalex.org/W2041717909","https://openalex.org/W2051370783","https://openalex.org/W2052386156","https://openalex.org/W2062125287","https://openalex.org/W2065742895","https://openalex.org/W2069099760","https://openalex.org/W2074476634","https://openalex.org/W2075681335","https://openalex.org/W2075807431","https://openalex.org/W2101610995","https://openalex.org/W2115161662","https://openalex.org/W2120350343","https://openalex.org/W2125129404","https://openalex.org/W2152481464","https://openalex.org/W2162328283","https://openalex.org/W2162444644","https://openalex.org/W2166215547","https://openalex.org/W2169217495","https://openalex.org/W2324589794","https://openalex.org/W2473060786","https://openalex.org/W2610857016","https://openalex.org/W2949417153","https://openalex.org/W3195084822","https://openalex.org/W4232474910","https://openalex.org/W4235941905","https://openalex.org/W4238253035","https://openalex.org/W4249108591","https://openalex.org/W4293005804","https://openalex.org/W4300567850","https://openalex.org/W4362230038","https://openalex.org/W6634927326"],"related_works":["https://openalex.org/W2952859667","https://openalex.org/W7097733060","https://openalex.org/W2149019817","https://openalex.org/W4406292439","https://openalex.org/W4390640060","https://openalex.org/W2008943413","https://openalex.org/W2903885429","https://openalex.org/W6976973021","https://openalex.org/W2132737396","https://openalex.org/W7027431302"],"abstract_inverted_index":null,"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":1},{"year":2018,"cited_by_count":1},{"year":2015,"cited_by_count":1},{"year":2013,"cited_by_count":1},{"year":2012,"cited_by_count":3}],"updated_date":"2026-11-01T11:40:01.658920","created_date":"2016-06-24T00:00:00"}