Sparse Bayesian time-varying covariance estimation in many dimensions (Q117775): Difference between revisions
From MaRDI portal
Set OpenAlex properties. |
Changed an Item |
||
Property / arXiv ID | |||
Property / arXiv ID: 1608.08468 / rank | |||
Normal rank |
Revision as of 22:30, 18 April 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Sparse Bayesian time-varying covariance estimation in many dimensions |
scientific article |
Statements
210
0 references
1
0 references
98-115
0 references
May 2019
0 references
30 April 2019
0 references
Sparse Bayesian time-varying covariance estimation in many dimensions (English)
0 references
dynamic correlation
0 references
factor stochastic volatility
0 references
curse of dimensionality
0 references
shrinkage
0 references
minimum variance portfolio
0 references