Cited in
(22)- Mosek.jl
- SamplingRB
- BatchGetSymbols
- Spiked separable covariance matrices and principal components
- An orthogonally equivariant estimator of the covariance matrix in high dimensions and for small sample sizes
- Subordination methods for free deconvolution
- Rapid evaluation of the spectral signal detection threshold and Stieltjes transform
- SPECTRODE
- RMTool
- OptShrink
- Quadratic shrinkage for large covariance matrices
- ARCHModels.jl
- HDTD
- nlshrink
- Analytical nonlinear shrinkage of large-dimensional covariance matrices
- Shrinkage estimation of large covariance matrices: keep it simple, statistician?
- Positive-definite modification of a covariance matrix by minimizing the matrix \(\ell_{\infty}\) norm with applications to portfolio optimization
- Copula shrinkage and portfolio allocation in ultra-high dimensions
- MIXANDMIX: numerical techniques for the computation of empirical spectral distributions of population mixtures
- riskParityPortfolio
- HDShOP
- Random matrix improved covariance estimation for a large class of metrics*
This page was built for software: QuEST
