Linear shrinkage estimation of large covariance matrices using factor models
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Cites work
- A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
- A well-conditioned estimator for large-dimensional covariance matrices
- Adaptive thresholding for sparse covariance matrix estimation
- An identity for the Wishart distribution with applications
- Common risk factors in the returns on stocks and bonds
- Covariance regularization by thresholding
- Estimation of the mean of a multivariate normal distribution
- Generalized thresholding of large covariance matrices
- High dimensional covariance matrix estimation using a factor model
- High-dimensional covariance matrix estimation in approximate factor models
- scientific article; zbMATH DE number 4189017 (Why is no real title available?)
- Improved Stein-type shrinkage estimators for the high-dimensional multivariate normal covariance matrix
- Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
- Nonlinear shrinkage estimation of large-dimensional covariance matrices
- Nonparametric Stein-type shrinkage covariance matrix estimators in high-dimensional settings
- Optimal rates of convergence for sparse covariance matrix estimation
- Regularized estimation of large covariance matrices
- Shrinkage Algorithms for MMSE Covariance Estimation
- Shrinkage estimators for large covariance matrices in multivariate real and complex normal distributions under an invariant quadratic loss
- Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions
Cited in
(14)- Comparison of linear shrinkage estimators of a large covariance matrix in normal and non-normal distributions
- Weighted covariance matrix estimation
- Portfolio selection: shrinking the time-varying inverse conditional covariance matrix
- Ridge-type linear shrinkage estimation of the mean matrix of a high-dimensional normal distribution
- Analytical nonlinear shrinkage of large-dimensional covariance matrices
- Large covariance estimation through elliptical factor models
- High dimensional covariance matrix estimation using a factor model
- SOLVING LARGE SCALE MEAN-VARIANCE MODELS WITH DENSE NON-FACTORABLE COVARIANCE MATRICES
- scientific article; zbMATH DE number 7387534 (Why is no real title available?)
- Covariance estimation and algorithm implementation of hedge fund distributional-replicating approach
- Regularized covariance matrix estimation in high dimensional approximate factor models
- Ledoit-Wolf linear shrinkage with unknown mean
- Improved precision matrix estimation for mean-variance portfolio selection
- Shrinkage regression for multivariate inference with missing data, and an application to portfolio balancing
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