Improved Calibration of High-Dimensional Precision Matrices

DOI10.1109/TSP.2012.2236321zbMATH Open1393.94520MaRDI QIDQ4578465FDOQ4578465

Author name not available (Why is that?)

Publication date: 22 August 2018

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Cited In (3)

• Sample and realized minimum variance portfolios: estimation, statistical inference, and tests
• Recent advances in shrinkage-based high-dimensional inference
• Bandwidth selection for large covariance and precision matrices

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