The Annals of Statistics, Vol. 40, No. 2 (April 2012), pp. 1024-1060 (37 pages) Many statistical applications require an estimate of a covariance matrix and/or its inverse. When the matrix dimension ...
This is a preview. Log in through your library . Abstract This paper adds motivations for the use of the sample variance-covariance matrix estimator $\hat{\Sigma}$ in repeated measurement designs by: ...
Investopedia contributors come from a range of backgrounds, and over 25 years there have been thousands of expert writers and editors who have contributed. Gordon Scott has been an active investor and ...
Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle ...
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