Improved Calibration of High-Dimensional Precision Matrices

DOI10.1109/TSP.2012.2236321MaRDI QIDQ4578465zbMATH OpenFDO

Authors

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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