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11-122/4 - Sparse and Robust Factor Modelling

  • Authors
    Christophe Croux, K.U. Leuven, Belgium; Peter Exterkate, Erasmus University Rotterdam
  • Publication date
    August 19, 2011
  • Keywords
    dimension reduction, forecasting, outliers, regularization
  • JEL
    C38, C51, C53
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