Recent advances in shrinkage-based high-dimensional inference (Q2062777)

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Recent advances in shrinkage-based high-dimensional inference
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    Recent advances in shrinkage-based high-dimensional inference (English)
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    3 January 2022
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    covariance matrix
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    high-dimensional asymptotics
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    high-dimensional optimal portfolio
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    mean vector
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    precision matrix
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    random matrix theory
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    shrinkage estimation
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