Matteo Farnè; Angelos Vouldis, A methodology for automatised outlier detection in high-dimensional datasets: an application to euro area banks’ supervisory data, 2018. [Technical report]
Matteo Farnè;Matteo Barigozzi, AN ALGEBRAIC ESTIMATOR FOR LARGE SPECTRAL MATRICES, in: Abstracts of talk, 2018, pp. 290 - 290 (atti di: Joint meeting of the Italian Mathematical Union, the Italian Society of Industrial and Applied Mathematics and the Polish Mathematical Society, Wroclaw, 17-20 September) [Abstract]
Matteo Farnè;Angela Montanari, Factor model estimation by composite minimization, in: Factor model estimation by composite minimization, 2018(atti di: Theoretical and algorithmic underpinnings of Big Data, Cambridge, 15 -19 January 2018) [Poster]
Matteo Farnè;Angela Montanari, Factor model estimation by composite minimization, in: PROGRAMME AND ABSTRACTS, 2018, pp. 5 - 5 (atti di: CRoNoS Workshop and Spring Course on Multivariate Data Analysis and Software (CRoNoS MDA 2018), Limassol, 3-5 April) [Abstract]
Matteo Farnè;Angelos Vouldis, MATLAB package for clustering methodology, 2018. [Software]
Matteo Farnè; Angela Montanari, Matlab package for UNALCE estimator, 2018. [Software]
Matteo Farnè; Angela Montanari, R package "grangers", 2018. [Software]
Matteo Farnè; Angelos Vouldis, Business models of the banks in the euro area, 2017. [Technical report]
Matteo Farnè, Factor model estimation by composite minimization, in: PROGRAMME AND ABSTRACTS, 2017, pp. 65 - 65 (atti di: 10th International Conference of the ERCIM (European Research Consortium for Informatics and Mathematics) Working Group on Computational and Methodological Statistics (CMStatistics 2017), Londra, 16 – 18 December 2017) [Abstract]
Matteo Farnè, Testing Granger-causality on macroeconomic time series: a bootstrap approach, in: Proceedings ITISE 2017 International work-conference on Time Series, 2017, pp. 1050 - 1053 (atti di: International Work-Conference on Time Series Analysis (ITISE 2017), Granada, 18-20 September 2017) [Contribution to conference proceedings]
Farné, Matteo, An Algorithm to Simulate VMA Processes Having a Spectrum with Fixed Condition Number, «COMMUNICATIONS IN STATISTICS. SIMULATION AND COMPUTATION», 2016, 45, pp. 1664 - 1675 [Scientific article]
Matteo Farné; Angela Montanari, Different estimators of the spectral matrix: an empirical comparison testing a new shrinkage estimator, «COMMUNICATIONS IN STATISTICS, THEORY AND METHODS», 2016, 45, pp. 354 - 364 [Scientific article]
Matteo Farnè, Large Covariance Matrix Estimation by Composite Minimization, Bologna, Alma Mater Studiorum – Università di Bologna, 2016, pp. 179 . [Research monograph]
Matteo Farnè, Estimating large covariance matrices via low rank plus sparse decomposition, in: PROGRAMME AND ABSTRACTS, 2015, pp. 90 - 90 (atti di: 8th International Conference of the ERCIM (European Research Consortium for Informatics and Mathematics) Working Group on Computational and Methodological Statistics (CMStatistics 2015), Londra, 12 – 14 December 2015) [Abstract]
Matteo Farnè, Large covariance matrix estimation by composite minimization, in: CONFERENCE PROGRAM and BOOK of ABSTRACTS, 2015, pp. 71 - 71 (atti di: Conference of the International Federation of Classification Societies, Bologna, 6-8 July 2015) [Abstract]
