Linear shrinkage estimation of large covariance matrices using factor models (Q321913): Difference between revisions

@@ Property / DOI @@
-.1016/j.jmva.2016.08.001
@@ Property / DOI: 10.1016/j.jmva.2016.08.001 / rank @@
-Normal rank
@@ Property / author @@
-Tatsuya Kubokawa
@@ Property / author: Tatsuya Kubokawa / rank @@
-Normal rank
@@ Property / author @@
+Tatsuya Kubokawa
@@ Property / author: Tatsuya Kubokawa / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+F12
@@ Property / Mathematics Subject Classification ID: 62F12 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+H12
@@ Property / Mathematics Subject Classification ID: 62H12 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+J07
@@ Property / Mathematics Subject Classification ID: 62J07 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6639126
@@ Property / zbMATH DE Number: 6639126 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+covariance matrix
@@ Property / zbMATH Keywords: covariance matrix / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+factor model
@@ Property / zbMATH Keywords: factor model / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+high dimension
@@ Property / zbMATH Keywords: high dimension / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+large sample
@@ Property / zbMATH Keywords: large sample / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+non-normal distribution
@@ Property / zbMATH Keywords: non-normal distribution / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+normal distribution
@@ Property / zbMATH Keywords: normal distribution / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+portfolio management
@@ Property / zbMATH Keywords: portfolio management / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+ridge-type estimator
@@ Property / zbMATH Keywords: ridge-type estimator / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+risk functionisisis
@@ Property / zbMATH Keywords: risk functionisisis / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+Publication
@@ Property / MaRDI profile type: Publication / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jmva.2016.08.001
+Normal rank
@@ Property / OpenAlex ID @@
+W2517463029
@@ Property / OpenAlex ID: W2517463029 / rank @@
+Normal rank
@@ Property / cites work @@
+Covariance regularization by thresholding
@@ Property / cites work: Covariance regularization by thresholding / rank @@
+Normal rank
@@ Property / cites work @@
+Regularized estimation of large covariance matrices
+Normal rank
@@ Property / cites work @@
+Adaptive Thresholding for Sparse Covariance Matrix Estimation
+Normal rank
@@ Property / cites work @@
+Optimal rates of convergence for sparse covariance matrix estimation
+Normal rank
@@ Property / cites work @@
+Shrinkage Algorithms for MMSE Covariance Estimation
+Normal rank
@@ Property / cites work @@
+A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
+Normal rank
@@ Property / cites work @@
+Common risk factors in the returns on stocks and bonds
+Normal rank
@@ Property / cites work @@
+High dimensional covariance matrix estimation using a factor model
+Normal rank
@@ Property / cites work @@
+High-dimensional covariance matrix estimation in approximate factor models
+Normal rank
@@ Property / cites work @@
+Large Covariance Estimation by Thresholding Principal Orthogonal Complements
+Normal rank
@@ Property / cites work @@
+Improved Stein-type shrinkage estimators for the high-dimensional multivariate normal covariance matrix
+Normal rank
@@ Property / cites work @@
+An identity for the Wishart distribution with applications
+Normal rank
@@ Property / cites work @@
+Shrinkage estimators for large covariance matrices in multivariate real and complex normal distributions under an invariant quadratic loss
+Normal rank
@@ Property / cites work @@
+A well-conditioned estimator for large-dimensional covariance matrices
+Normal rank
@@ Property / cites work @@
+Nonlinear shrinkage estimation of large-dimensional covariance matrices
+Normal rank
@@ Property / cites work @@
+Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions
+Normal rank
@@ Property / cites work @@
+Generalized Thresholding of Large Covariance Matrices
+Normal rank
@@ Property / cites work @@
+Estimation of the mean of a multivariate normal distribution
+Normal rank
@@ Property / cites work @@
+Nonparametric Stein-type shrinkage covariance matrix estimators in high-dimensional settings
+Normal rank
@@ Property / cites work @@
+Q5753392
@@ Property / cites work: Q5753392 / rank @@
+Normal rank
@@ Property / DOI @@
+.1016/J.JMVA.2016.08.001
@@ Property / DOI: 10.1016/J.JMVA.2016.08.001 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:321913