【论文】赵俊龙 等：Pivotal variable detection of the covariance matrix and its application to high-dimensional factor models

Junlong Zhao  Hongyu Zhao,  Lixing Zhu.   Pivotal variable detection of the covariance matrix and its application to high-dimensional factor models.   Statistics and Computing.  2017.     

DOI 10.1007/s11222-017-9762-6