Pages that link to "Item:Q2350071"

The following pages link to Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions (Q2350071):

Displaying 41 items.

• Estimation of a high-dimensional covariance matrix with the Stein loss (Q276961) (← links)
• Nonparametric eigenvalue-regularized precision or covariance matrix estimator (Q292867) (← links)
• Linear shrinkage estimation of large covariance matrices using factor models (Q321913) (← links)
• A regularized profile likelihood approach to covariance matrix estimation (Q334313) (← links)
• Cleaning large correlation matrices: tools from random matrix theory (Q521794) (← links)
• An orthogonally equivariant estimator of the covariance matrix in high dimensions and for small sample sizes (Q830703) (← links)
• Numerical implementation of the QuEST function (Q1658388) (← links)
• Comparison of linear shrinkage estimators of a large covariance matrix in normal and non-normal distributions (Q1659485) (← links)
• Inferring large graphs using \(\ell_1\)-penalized likelihood (Q1704026) (← links)
• Optimal estimation of a large-dimensional covariance matrix under Stein's loss (Q1750102) (← links)
• On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations (Q1750277) (← links)
• Estimation of two high-dimensional covariance matrices and the spectrum of their ratio (Q1795566) (← links)
• Weighted covariance matrix estimation (Q2002720) (← links)
• A unified model for regularized and robust portfolio optimization (Q2007869) (← links)
• Spiked separable covariance matrices and principal components (Q2039807) (← links)
• High-dimensional linear models: a random matrix perspective (Q2051014) (← links)
• Design-free estimation of integrated covariance matrices for high-frequency data (Q2078572) (← links)
• Quadratic shrinkage for large covariance matrices (Q2137029) (← links)
• Ridge-type linear shrinkage estimation of the mean matrix of a high-dimensional normal distribution (Q2181723) (← links)
• Estimation of a multiplicative correlation structure in the large dimensional case (Q2190234) (← links)
• Analytical nonlinear shrinkage of large-dimensional covariance matrices (Q2215772) (← links)
• Rapid evaluation of the spectral signal detection threshold and Stieltjes transform (Q2230693) (← links)
• Shrinkage estimation of large covariance matrices: keep it simple, statistician? (Q2237812) (← links)
• NOVELIST estimator of large correlation and covariance matrices and their inverses (Q2273174) (← links)
• A large covariance matrix estimator under intermediate spikiness regimes (Q2293542) (← links)
• A test for Kronecker product structure covariance matrix (Q2688652) (← links)
• Efficient computation of limit spectra of sample covariance matrices (Q3459159) (← links)
• (Q4969160) (← links)
• (Q5011447) (← links)
• ESTIMATION OF TIME-VARYING COVARIANCE MATRICES FOR LARGE DATASETS (Q5024496) (← links)
• ESTIMATION OF THE KRONECKER COVARIANCE MODEL BY QUADRATIC FORM (Q5051523) (← links)
• High-dimensional Markowitz portfolio optimization problem: empirical comparison of covariance matrix estimators (Q5107390) (← links)
• Random matrix improved covariance estimation for a large class of metrics* (Q5857459) (← links)
• Estimation of high-dimensional dynamic conditional precision matrices with an application to forecast combination (Q5862514) (← links)
• Penalization-induced shrinking without rotation in high dimensional GLM regression: a cavity analysis (Q5878730) (← links)
• A bootstrap method for spectral statistics in high-dimensional elliptical models (Q6170616) (← links)
• High-dimensional covariance matrix estimation (Q6601084) (← links)
• Estimation of covariance and precision matrix, network structure, and a view toward systems biology (Q6607066) (← links)
• High-dimensional covariance matrices under dynamic volatility models: asymptotics and shrinkage estimation (Q6608678) (← links)
• A Nodewise Regression Approach to Estimating Large Portfolios (Q6617775) (← links)
• Large Dynamic Covariance Matrices (Q6634867) (← links)