Large covariance estimation by thresholding principal orthogonal complements
Jianqing Fan,
Yuan Liao and
Martina Mincheva
Journal of the Royal Statistical Society Series B, 2013, vol. 75, issue 4, 603-680
Date: 2013
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Working Paper: Large covariance estimation by thresholding principal orthogonal complements (2011) 
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