Pages that link to "Item:Q2418516"
From MaRDI portal
The following pages link to Fixed support positive-definite modification of covariance matrix estimators via linear shrinkage (Q2418516):
Displaying 5 items.
- Positive-definite modification of a covariance matrix by minimizing the matrix \(\ell_{\infty}\) norm with applications to portfolio optimization (Q2068898) (← links)
- Monitoring multivariate data with high missing rate by pooling univariate statistics (Q2111961) (← links)
- High-dimensional Markowitz portfolio optimization problem: empirical comparison of covariance matrix estimators (Q5107390) (← links)
- Estimation of sparse covariance matrix via non-convex regularization (Q6536688) (← links)
- Inference for calendar effects in microstructure noise (Q6636848) (← links)
