QuEST

swMATH38788MaRDI QIDQ54488FDOQ54488

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Described by source

• Numerical implementation of the QuEST function

Cited In (11)

• Copula shrinkage and portfolio allocation in ultra-high dimensions
• An orthogonally equivariant estimator of the covariance matrix in high dimensions and for small sample sizes
• Rapid evaluation of the spectral signal detection threshold and Stieltjes transform
• Random matrix improved covariance estimation for a large class of metrics*
• MIXANDMIX: numerical techniques for the computation of empirical spectral distributions of population mixtures
• Analytical nonlinear shrinkage of large-dimensional covariance matrices
• 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
• Quadratic shrinkage for large covariance matrices
• Shrinkage estimation of large covariance matrices: keep it simple, statistician?

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