Unbiased risk estimation method for covariance estimation

DOI10.1051/PS/2013034MaRDI QIDQ5174353zbMATH OpenOpenAlexFDO

Authors Hélène Lescornel, Claudie Chabriac, Jean-Michel Loubes

Publication date 17 February 2015

Published in ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1112.4735, https://www.esaim-ps.org/10.1051/ps/2013034/pdf

zbMATH Keywords

covariance estimationmodel selectionU.R.E. method

Mathematics Subject Classification ID

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(5)

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• A note on covariance estimation in the unbiased estimator of risk framework
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• Adjusting covariance matrix for risk management
• Quantifying and Correcting the Bias in Estimated Risk Measures

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