A well-conditioned estimator for large-dimensional covariance matrices

DOI10.1016/S0047-259X(03)00096-4zbMATH Open1032.62050MaRDI QIDQ149569FDOQ149569

Olivier Ledoit, Michael Wolf, Michael Wolf, Olivier Ledoit

Publication date: February 2004

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

Empirical BayesCondition numberCovariance matrix estimationGeneral asymptoticsShrinkage

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07) Empirical decision procedures; empirical Bayes procedures (62C12)

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Cited In (only showing first 100 items - show all)

• Two-group classification with high-dimensional correlated data: a factor model approach
• Operator norm consistent estimation of large-dimensional sparse covariance matrices
• Spectrum estimation for large dimensional covariance matrices using random matrix theory
• Model-based clustering of high-dimensional data: a review
• A two-sample test when data are contaminated
• Regularized generalized canonical correlation analysis: a framework for sequential multiblock component methods
• Estimation in High-Dimensional Analysis and Multivariate Linear Models
• Covariance estimation: the GLM and regularization perspectives
• Stationary bootstrapping for panel cointegration tests under cross-sectional dependence
• Flexible covariance estimation in graphical Gaussian models
• Ridge estimation of inverse covariance matrices from high-dimensional data
• Sparse permutation invariant covariance estimation
• Direct shrinkage estimation of large dimensional precision matrix
• Estimation of a high-dimensional covariance matrix with the Stein loss
• Berry-Esseen bounds for estimating undirected graphs
• Discussion: Latent variable graphical model selection via convex optimization
• High-dimensional covariance estimation by minimizing \(\ell _{1}\)-penalized log-determinant divergence
• A multi-country approach to forecasting output growth using PMIs
• A note on covariance estimation in the unbiased estimator of risk framework
• Estimation of noisy data: the case of partially missing information
• Rejoinder: Latent variable graphical model selection via convex optimization
• Improved multivariate normal mean estimation with unknown covariance when \(p\) is greater than \(n\)
• Regularized estimation of large covariance matrices
• High dimensional minimum variance portfolio estimation under statistical factor models
• Improved Stein-type shrinkage estimators for the high-dimensional multivariate normal covariance matrix
• Discussion: Latent variable graphical model selection via convex optimization
• Nonparametric eigenvalue-regularized precision or covariance matrix estimator
• Shrinkage estimators for large covariance matrices in multivariate real and complex normal distributions under an invariant quadratic loss
• Sparse estimation of large covariance matrices via a nested Lasso penalty
• Spatio-temporal convolution kernels
• Concentration of measure and spectra of random matrices: applications to correlation matrices, elliptical distributions and beyond
• A novel hybrid dimension reduction technique for undersized high dimensional gene expression data sets using information complexity criterion for cancer classification
• An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment
• Posterior convergence rates for estimating large precision matrices using graphical models
• Second order statistics of robust estimators of scatter. Application to GLRT detection for elliptical signals
• Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors
• Testing the equality of several covariance matrices with fewer observations than the dimension
• Adaptive covariance matrix estimation through block thresholding
• Asymptotic inference for high-dimensional data
• Bayesian discriminant analysis using a high dimensional predictor
• Accelerating data uncertainty quantification by solving linear systems with multiple right-hand sides
• The minimum regularized covariance determinant estimator
• Bayesian Synthetic Likelihood
• Accelerating Bayesian Synthetic Likelihood With the Graphical Lasso
• Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions
• Graph-Guided Banding of the Covariance Matrix
• Optimal estimation of a large-dimensional covariance matrix under Stein's loss
• High dimensional covariance matrix estimation using a factor model
• Principal component analysis for second-order stationary vector time series
• Nonlinear shrinkage estimation of large-dimensional covariance matrices
• Two sample tests for high-dimensional covariance matrices
• Fixed support positive-definite modification of covariance matrix estimators via linear shrinkage
• On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix
• The Generalized Ridge Estimator of the Inverse Covariance Matrix
• Updating of the Gaussian graphical model through targeted penalized estimation
• Latent variable graphical model selection via convex optimization
• Design-free estimation of variance matrices
• Regularized generalized canonical correlation analysis
• Optimal shrinkage of eigenvalues in the spiked covariance model
• High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: risk underestimation
• Estimating high dimensional covariance matrices: a new look at the Gaussian conjugate framework
• Dominating estimators for minimum-variance portfolios
• Covariate-Adjusted Tensor Classification in High-Dimensions
• Kernel generalized canonical correlation analysis
• Difference filter preconditioning for large covariance matrices
• Modified linear discriminant analysis approaches for classification of high-dimensional microarray data
• Covariance regularization by thresholding
• ESTIMATION OF OPTIMAL PORTFOLIO WEIGHTS
• Optimal Portfolio Diversification Using the Maximum Entropy Principle
• xdcclarge
• The joint distribution of stock returns is not elliptical
• Covariate Information Matrix for Sufficient Dimension Reduction
• \(e\)PCA: high dimensional exponential family PCA
• A note on improving quadratic inference functions using a linear shrinkage approach
• Eigenvectors of some large sample covariance matrix ensembles
• Regularization in statistics
• Numerical implementation of the QuEST function
• Data-driven shrinkage of the spectral density matrix of a high-dimensional time series
• Developing new portfolio strategies by aggregation
• Regularized Parameter Estimation in High-Dimensional Gaussian Mixture Models
• Cholesky-based model averaging for covariance matrix estimation
• Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach
• Ensemble sparse estimation of covariance structure for exploring genetic disease data
• Autoregressive frequency detection using regularized least squares
• Estimating large correlation matrices for international migration
• A local moment estimator of the spectrum of a large dimensional covariance matrix
• Detection of block-exchangeable structure in large-scale correlation matrices
• A unified model for regularized and robust portfolio optimization
• Discussion: Latent variable graphical model selection via convex optimization
• Reconciling mean-variance portfolio theory with non-Gaussian returns
• On variable ordination of Cholesky‐based estimation for a sparse covariance matrix
• Best approximation of the identity mapping: The case of variable finite memory
• Testing and estimating change-points in the covariance matrix of a high-dimensional time series
• Adaptive estimation of covariance matrices via Cholesky decomposition
• Empirical properties of a heterogeneous agent model in large dimensions
• Analytical nonlinear shrinkage of large-dimensional covariance matrices
• Asymptotics for high-dimensional covariance matrices and quadratic forms with applications to the trace functional and shrinkage
• Generalized estimating equations with stabilized working correlation structure
• Using principal component analysis to estimate a high dimensional factor model with high-frequency data
• Optimal multilinear estimation of a random vector under constraints of causality and limited memory

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