Bootstraps regularize singular correlation matrices

DOI10.1016/J.CAM.2024.115958MaRDI QIDQ6572443zbMATH OpenFDO

Authors Christian Bongiorno

Publication date 15 July 2024

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.CAM.2024.115958

zbMATH Keywords

correlationregularizationshrinkagehigh-dimensionality

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12)

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Cites work

• A well-conditioned estimator for large-dimensional covariance matrices
• Computing the nearest correlation matrix--a problem from finance

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