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Analysis of elliptical copula correlation factor model with Kendall's tau
Elliptical copula correlation matrix factor model Kendall’s tau nuclear norm penalty oracle inequality primal-dual certificate
2013/6/14
We study a factor model for the correlation matrix $\Sigma\in\RR^{d\times d}$ of an elliptical copula. The correlations are connected to Kendall's tau and a natural estimation procedure is to plug-in ...