TY - DATA
T1 - Factor Model MATLAB code underlying the publication: A Saddle Point Algorithm for Robust Data-Driven Factor Model Problems
PY - 2025/06/17
AU - Shabnam Khodakaramzadeh
UR - 
DO - 10.4121/f25270e0-4054-4e9d-85da-5908a07a3874.v1
KW - Factor model
KW - covariance matrix estimation
KW - first-order algorithms
KW - dimension reduction
N2 - <p>The factor model problem focuses on the decomposition of a covariance matrix $\Sigma$ to low-rank and diagnonal positive semidefinite matrices.  In practice, $\Sigma$ is often not available, and only its empirical counterpart, $\hat{\Sigma}$, is available. To robustify to this approximation error, a common practice is to consider a family of covariance matrices in the vicinity of $\Sigma$.</p><p>The linked repository contains MATLAB files corresponding to the numerical results of the paper 'A Saddle Point Algorithm for Robust Data-Driven Factor Model Problems'.</p>
ER -