Nonparametric eigenvalue-regularized precision or covariance matrix estimator
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Cites work
- A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
- A well-conditioned estimator for large-dimensional covariance matrices
- Analysis of the limiting spectral distribution of large dimensional random matrices
- Cholesky Decompositions and Estimation of A Covariance Matrix: Orthogonality of Variance Correlation Parameters
- Covariance matrix selection and estimation via penalised normal likelihood
- Covariance regularization by thresholding
- DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
- Design-free estimation of variance matrices
- Eigenvectors of some large sample covariance matrix ensembles
- Estimation of latent factors for high-dimensional time series
- Estimation with quadratic loss.
- 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
- High-dimensional covariance matrix estimation in approximate factor models
- High-dimensional graphs and variable selection with the Lasso
- Lectures on the theory of estimation of many parameters
- Limit of the smallest eigenvalue of a large dimensional sample covariance matrix
- Nonlinear shrinkage estimation of large-dimensional covariance matrices
- Nonparametric eigenvalue-regularized precision or covariance matrix estimator
- Optimal rates of convergence for sparse covariance matrix estimation
- Regularized estimation of large covariance matrices
- Sparse inverse covariance estimation with the graphical lasso
- Sparsistency and rates of convergence in large covariance matrix estimation
- Spectral analysis of large dimensional random matrices
- Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions
Cited in
(23)- A Synthetic Regression Model for Large Portfolio Allocation
- Generalized estimating equations with stabilized working correlation structure
- High-dimensional linear discriminant analysis using nonparametric methods
- Sparse online principal component analysis for parameter estimation in factor model
- A LINEAR-PROGRAMMING PORTFOLIO OPTIMIZER TO MEAN–VARIANCE OPTIMIZATION
- Nonparametric eigenvalue-regularized precision or covariance matrix estimator
- Consistent estimation of high-dimensional factor models when the factor number is over-estimated
- Tackling Small Eigen-Gaps: Fine-Grained Eigenvector Estimation and Inference Under Heteroscedastic Noise
- Design-free estimation of integrated covariance matrices for high-frequency data
- High dimensional discriminant rules with shrinkage estimators of the covariance matrix and mean vector
- Estimating large‐dimensional connectedness tables: The great moderation through the lens of sectoral spillovers
- NOVELIST estimator of large correlation and covariance matrices and their inverses
- High-dimensional covariance matrix estimation
- Numerical implementation of the QuEST function
- Quadratic shrinkage for large covariance matrices
- Most powerful test against a sequence of high dimensional local alternatives
- Analytical nonlinear shrinkage of large-dimensional covariance matrices
- Power-law partial correlation network models
- A large covariance matrix estimator under intermediate spikiness regimes
- A Compound Decision Approach to Covariance Matrix Estimation
- Matrix means and a novel high-dimensional shrinkage phenomenon
- A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data
- Randomized time Riemannian manifold Hamiltonian Monte Carlo
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