POET (2.0)

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Principal Orthogonal ComplEment Thresholding (POET) Method.


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

Maintainer: Martina Mincheva
Author(s): Jianqing Fan, Yuan Liao, Martina Mincheva

License: GPL-2

Uses: Does not use any package
Reverse depends: pfa

Released over 3 years ago.

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