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MaRDI QIDQ149572CRANFDO

Authors Mitsuyoshi Imamura, Kei Nakagawa

Last update 12 July 2018

Copyright license GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier 0.1.0

Cites work

• A well-conditioned estimator for large-dimensional covariance matrices
• Nonlinear shrinkage estimation of large-dimensional covariance matrices
• Large Dynamic Covariance Matrices
• Risk-Based Portfolios with Large Dynamic Covariance Matrices
• Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions

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