Tuning-parameter selection in regularized estimations of large covariance matrices
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Cites work
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Cited in
(9)- A multiple testing approach to the regularisation of large sample correlation matrices
- Estimating a covariance matrix for market risk management and the case of credit default swaps
- Shrinkage tuning parameter selection in precision matrices estimation
- Cross-Validated Loss-based Covariance Matrix Estimator Selection in High Dimensions
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