NOVELIST estimator of large correlation and covariance matrices and their inverses (Q2273174)
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scientific article; zbMATH DE number 7106574
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| English | NOVELIST estimator of large correlation and covariance matrices and their inverses |
scientific article; zbMATH DE number 7106574 |
Statements
NOVELIST estimator of large correlation and covariance matrices and their inverses (English)
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18 September 2019
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covariance regularisation
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high-dimensional covariance
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long memory
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non-sparse modelling
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singular sample covariance
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high dimensionality
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0.7856436967849731
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0.7825285792350769
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0.7805925607681274
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0.7713708877563477
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0.7709963321685791
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