POET (2.0)

Principal Orthogonal ComplEment Thresholding (POET) Method.

http://cran.r-project.org/web/packages/POET

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.