Comparison among high dimensional covariance matrix estimation methods (Q4920678)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6164643
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Comparison among high dimensional covariance matrix estimation methods |
scientific article; zbMATH DE number 6164643 |
Statements
21 May 2013
0 references
covariance matrix
0 references
high dimensional data
0 references
penalized least squares
0 references
portfolio optimization
0 references
shrinkage
0 references
0.8464846611022949
0 references
0.8280781507492065
0 references
0.8209498524665833
0 references
0.7943216562271118
0 references
