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Mikkel, Solvsten ; Raffaele, Saggio ; Raffaele, Saggio ; Patrick, Kline ; Mikkel, Sølvsten. (2019) Leave-out estimation of variance components.
In: Papers. RePEc:arx:papers:1806.01494.
Full description at Econpapers
cites:
L̇†AL̇†(eg − eN+j(g,t)) = ||A1/2 L̇†(eg − eN+j(g,t))||2 Hence, one can approximate Bii via a simple modification of Algorithm 2. When A is used to estimate covariance components, we can rewrite A as in Lemma 3, that is A = A0 1A2. Note that a simple corollary of the JLL is that inner products are preserved under random projections (see for instance Corollary 2 in Arriaga and Vempala, 1999).
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