QuEST
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Related Items (11)
An orthogonally equivariant estimator of the covariance matrix in high dimensions and for small sample sizes ⋮ Quadratic shrinkage for large covariance matrices ⋮ Analytical nonlinear shrinkage of large-dimensional covariance matrices ⋮ Rapid evaluation of the spectral signal detection threshold and Stieltjes transform ⋮ Shrinkage estimation of large covariance matrices: keep it simple, statistician? ⋮ MIXANDMIX: numerical techniques for the computation of empirical spectral distributions of population mixtures ⋮ Subordination methods for free deconvolution ⋮ Spiked separable covariance matrices and principal components ⋮ Positive-definite modification of a covariance matrix by minimizing the matrix \(\ell_{\infty}\) norm with applications to portfolio optimization ⋮ Random matrix improved covariance estimation for a large class of metrics* ⋮ Copula shrinkage and portfolio allocation in ultra-high dimensions
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