Design-free estimation of variance matrices
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Publication:2451793
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Cites work
- A well-conditioned estimator for large-dimensional covariance matrices
- Asymptotic Theory for Principal Component Analysis
- ASYMPTOTIC THEORY FOR PRINCIPAL COMPONENT ANALYSIS: NON-NORMAL CASE1
- Banded and tapered estimates for autocovariance matrices and the linear process bootstrap
- Condition-number-regularized covariance estimation
- Covariance matrix selection and estimation via penalised normal likelihood
- Covariance regularization by thresholding
- Factor modeling for high-dimensional time series: inference for the number of factors
- Generalized thresholding of large covariance matrices
- High dimensional covariance matrix estimation using a factor model
- HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES
- scientific article; zbMATH DE number 3122730 (Why is no real title available?)
- scientific article; zbMATH DE number 1104922 (Why is no real title available?)
- scientific article; zbMATH DE number 2230055 (Why is no real title available?)
- Improved minimax estimation of a normal precision matrix
- Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
- Nonconcave penalized likelihood with a diverging number of parameters.
- Nonlinear shrinkage estimation of large-dimensional covariance matrices
- Operator norm consistent estimation of large-dimensional sparse covariance matrices
- Parametric estimation for the mean of a Gaussian process by the method of sieves
- Regularized estimation of large covariance matrices
- Sparse permutation invariant covariance estimation
- Sparsistency and rates of convergence in large covariance matrix estimation
Cited in
(14)- A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data
- A multiple testing approach to the regularisation of large sample correlation matrices
- Analytical nonlinear shrinkage of large-dimensional covariance matrices
- Nonparametric eigenvalue-regularized precision or covariance matrix estimator
- scientific article; zbMATH DE number 2147973 (Why is no real title available?)
- Estimation of time-varying covariance matrices for large datasets
- Proximity-structured multivariate volatility models
- A LINEAR-PROGRAMMING PORTFOLIO OPTIMIZER TO MEAN–VARIANCE OPTIMIZATION
- High-dimensional covariance matrix estimation
- On the estimation of high-dimensional integrated covariance matrix based on high-frequency data with multiple transactions
- Regularizing stock return covariance matrices via multiple testing of correlations
- On the estimation of large-dimensional covariance matrices based on noisy observations
- A regularization approach to optimizing large portfolios under asymmetries in returns and risk attitudes
- A practitioner’s guide to AI+ML in portfolio investing
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