Precision matrix estimation under data contamination with an application to minimum variance portfolio selection (Q5082899)
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scientific article; zbMATH DE number 7545811
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| English | Precision matrix estimation under data contamination with an application to minimum variance portfolio selection |
scientific article; zbMATH DE number 7545811 |
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Precision matrix estimation under data contamination with an application to minimum variance portfolio selection (English)
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21 June 2022
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data contamination
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Gaussian graphical model
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high-dimensional data
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minimum variance portfolio
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robust estimation
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0.8075103163719177
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0.7822614312171936
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0.7661997675895691
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0.7589711546897888
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