Linear shrinkage estimation of large covariance matrices using factor models (Q321913): Difference between revisions
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| Property / author: Tatsuya Kubokawa / rank | |||
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| Property / Mathematics Subject Classification ID: 62F12 / rank | |||
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| Property / Mathematics Subject Classification ID: 62H12 / rank | |||
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| Property / Mathematics Subject Classification ID: 62J07 / rank | |||
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| Property / zbMATH DE Number: 6639126 / rank | |||
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| Property / zbMATH Keywords | |||
covariance matrix | |||
| Property / zbMATH Keywords: covariance matrix / rank | |||
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factor model | |||
| Property / zbMATH Keywords: factor model / rank | |||
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high dimension | |||
| Property / zbMATH Keywords: high dimension / rank | |||
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large sample | |||
| Property / zbMATH Keywords: large sample / rank | |||
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non-normal distribution | |||
| Property / zbMATH Keywords: non-normal distribution / rank | |||
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normal distribution | |||
| Property / zbMATH Keywords: normal distribution / rank | |||
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portfolio management | |||
| Property / zbMATH Keywords: portfolio management / rank | |||
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ridge-type estimator | |||
| Property / zbMATH Keywords: ridge-type estimator / rank | |||
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risk functionisisis | |||
| Property / zbMATH Keywords: risk functionisisis / rank | |||
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Revision as of 02:08, 28 June 2023
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Linear shrinkage estimation of large covariance matrices using factor models |
scientific article |
Statements
Linear shrinkage estimation of large covariance matrices using factor models (English)
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14 October 2016
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covariance matrix
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factor model
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high dimension
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large sample
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non-normal distribution
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normal distribution
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portfolio management
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ridge-type estimator
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risk functionisisis
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