Analytical nonlinear shrinkage of large-dimensional covariance matrices
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Cites work
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- Optimal estimation of a large-dimensional covariance matrix under Stein's loss
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- Strong convergence of the empirical distribution of eigenvalues of large dimensional random matrices
Cited in
(40)- Nonlinear shrinkage estimation of large-dimensional covariance matrices
- Optimal portfolio selections via \(\ell_{1, 2}\)-norm regularization
- Recent advances in shrinkage-based high-dimensional inference
- Design-free estimation of integrated covariance matrices for high-frequency data
- Copula shrinkage and portfolio allocation in ultra-high dimensions
- Quadratic shrinkage for large covariance matrices
- Fitting Laplacian regularized stratified Gaussian models
- Shrinkage estimation of large covariance matrices: keep it simple, statistician?
- Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions
- Simple multivariate conditional covariance dynamics using hyperbolically weighted moving averages
- Nonlinear shrinkage estimation of large integrated covariance matrices
- Addressing non-normality in multivariate analysis using the t-distribution
- Fast randomized numerical rank estimation for numerically low-rank matrices
- Bridging factor and sparse models
- Target selection in shrinkage estimation of covariance matrix: a structural similarity approach
- Dynamic currency hedging with non-Gaussianity and ambiguity
- Bayesian estimation of cluster covariance matrices of unknown form
- Optimal Shrinkage-Based Portfolio Selection in High Dimensions
- High-dimensional covariance matrices under dynamic volatility models: asymptotics and shrinkage estimation
- High dimensional discriminant rules with shrinkage estimators of the covariance matrix and mean vector
- Probabilistic models and statistics for electronic financial markets in the digital age
- High-Dimensional Dynamic Covariance Matrices With Homogeneous Structure
- On the Combination of Naive and Mean-Variance Portfolio Strategies
- Inference on the eigenvalues of the normalized precision matrix
- Addressing estimation errors on expected asset returns through robust portfolio optimization
- On convergence of regularized covariance estimator based on modified Cholesky decomposition
- Higher-order nonlinear shrinkage estimator of large-dimensional precision matrix
- Variable selection method based on BIC with consistency for non-zero partial correlations under a large-dimensional setting
- Weighted average ensemble for Cholesky-based covariance matrix estimation
- Ledoit-Wolf linear shrinkage with unknown mean
- Sparse portfolio optimization via _1 over _2 regularization
- Cross validation based transfer learning for cross-sectional non-linear shrinkage: a data-driven approach in portfolio optimization
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- Reviving pseudo-inverses: asymptotic properties of large dimensional Moore-Penrose and ridge-type inverses with applications
- Dynamic Conditional Correlations with Partial Information Pooling
- Blind free deconvolution over one-parameter sparse families via eigenmatrix
- An orthogonally equivariant estimator of the covariance matrix in high dimensions and for small sample sizes
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