Design-free estimation of variance matrices

DOI10.1016/j.jeconom.2014.03.010zbMath1311.62078OpenAlexW3122551211MaRDI QIDQ2451793

Filip Zikes, Walter Distaso, Karim M. Abadir

Publication date: 4 June 2014

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10044/1/26856

zbMATH Keywords

mean squared errorresamplingU-statisticsill-conditioningmean absolute deviationsvariance matrices

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Nonparametric estimation (62G05) Eigenvalues, singular values, and eigenvectors (15A18)

Related Items (7)

Nonparametric eigenvalue-regularized precision or covariance matrix estimator ⋮ A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data ⋮ A LINEAR-PROGRAMMING PORTFOLIO OPTIMIZER TO MEAN–VARIANCE OPTIMIZATION ⋮ Analytical nonlinear shrinkage of large-dimensional covariance matrices ⋮ A multiple testing approach to the regularisation of large sample correlation matrices ⋮ Proximity-Structured Multivariate Volatility Models ⋮ ESTIMATION OF TIME-VARYING COVARIANCE MATRICES FOR LARGE DATASETS

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