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MaRDI QIDQ5978358CRANFDO

Authors Yan Li, Jun Yan, Kun Chen

Last update 9 January 2024

Copyright license GNU General Public License

Software version identifier 0.0-1, 0.0-2, 0.0-3

Description

Conduct detection and attribution of climate change using methods including optimal fingerprinting via generalized total least squares or estimating equation approach from Ma et al. (2023) <doi:10.1175/JCLI-D-22-0681.1>. Provide shrinkage estimators for covariance matrix from Ledoit and Wolf (2004) <doi:10.1016/S0047-259X(03)00096-4>, and Ledoit and Wolf (2017) <doi:10.2139/ssrn.2383361>.

Cites work

• A well-conditioned estimator for large-dimensional covariance matrices
• Nonlinear Shrinkage of the Covariance Matrix for Portfolio Selection: Markowitz Meets Goldilocks
• Optimal Fingerprinting with Estimating Equations

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