Shrinkage for covariance estimation: asymptotics, confidence intervals, bounds and applications in sensor monitoring and finance (Q1757253)
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scientific article
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| English | Shrinkage for covariance estimation: asymptotics, confidence intervals, bounds and applications in sensor monitoring and finance |
scientific article |
Statements
Shrinkage for covariance estimation: asymptotics, confidence intervals, bounds and applications in sensor monitoring and finance (English)
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3 January 2019
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central limit theorem
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high-dimensional statistics
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finance
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shrinkage
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strong approximation
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portfolio risk
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risk
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time series
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0.8409557938575745
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0.7991803288459778
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0.7943757772445679
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0.777605414390564
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0.7774471640586853
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