Improving portfolios global performance using a cleaned and robust covariance matrix estimate
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Publication:2153647
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Cites work
- scientific article; zbMATH DE number 3354336 (Why is no real title available?)
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- DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
- Eigenvectors of some large sample covariance matrix ensembles
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- Financial applications of random matrix theory: old laces and new pieces
- Generalized Robust Shrinkage Estimator and Its Application to STAP Detection Problem
- Non-Parametric Detection of the Number of Signals: Hypothesis Testing and Random Matrix Theory
- On the theory of elliptically contoured distributions
- RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
- Robust Estimates of Covariance Matrices in the Large Dimensional Regime
- Robust Shrinkage Estimation of High-Dimensional Covariance Matrices
- Robust m-estimators of multivariate location and scatter
- Robust spiked random matrices and a robust G-MUSIC estimator
- Rotational Invariant Estimator for General Noisy Matrices
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- Toeplitz and circulant matrices: a review.
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