Olivier Ledoit

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Large Dynamic Covariance Matrices Journal of Business and Economic Statistics	2024-11-08	Paper
A novel estimator of Earth's curvature (allowing for inference as well) The Annals of Applied Statistics	2024-04-15	Paper
Quadratic shrinkage for large covariance matrices Bernoulli	2022-05-16	Paper
Shrinkage estimation of large covariance matrices: keep it simple, statistician? Journal of Multivariate Analysis	2021-10-28	Paper
Analytical nonlinear shrinkage of large-dimensional covariance matrices The Annals of Statistics	2020-12-14	Paper
Numerical implementation of the QuEST function Computational Statistics and Data Analysis	2018-08-14	Paper
Numerical implementation of the QuEST function Computational Statistics and Data Analysis	2018-08-14	Paper
Optimal estimation of a large-dimensional covariance matrix under Stein's loss Bernoulli	2018-05-18	Paper
Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions Journal of Multivariate Analysis	2015-06-18	Paper
Nonlinear shrinkage estimation of large-dimensional covariance matrices The Annals of Statistics	2012-08-29	Paper
Nonlinear shrinkage estimation of large-dimensional covariance matrices The Annals of Statistics	2012-08-29	Paper
Nonlinear shrinkage estimation of large-dimensional covariance matrices The Annals of Statistics	2012-04-01	Paper
Nonlinear shrinkage estimation of large-dimensional covariance matrices The Annals of Statistics	2012-04-01	Paper
Eigenvectors of some large sample covariance matrix ensembles Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete	2011-11-07	Paper
Eigenvectors of some large sample covariance matrix ensembles Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete	2011-11-07	Paper
CRASHES AS CRITICAL POINTS International Journal of Theoretical and Applied Finance	2008-09-03	Paper
A well-conditioned estimator for large-dimensional covariance matrices Journal of Multivariate Analysis	2004-02-03	Paper
A well-conditioned estimator for large-dimensional covariance matrices Journal of Multivariate Analysis	2004-02-01	Paper
Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size The Annals of Statistics	2002-11-14	Paper

Research outcomes over time

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