Shrinkage Estimation of Large Covariance Matrices: Keep It Simple, Statistician?

SSRN Electronic Journal
doi 10.2139/ssrn.3421503
Full Text
Abstract

Available in full text

Date
Authors
Publisher

Elsevier BV

Related search

Shrinkage Estimators for Covariance Matrices

Biometrics
StatisticsGeneticsProbabilityMolecular BiologyBiochemistryApplied MathematicsMicrobiology ImmunologyBiological SciencesMedicineAgricultural
2001English

Bayesian Shrinkage Estimation of Time-Varying Covariance Matrices in Financial Time Series

English

Estimation of Large Covariance Matrices of Longitudinal Data With Basis Function Approximations

Journal of Computational and Graphical Statistics
CombinatoricsUncertaintyStatisticsProbabilityDiscrete Mathematics
2007English

Embryogenesis of Ectopic Bronchogenic Cysts: Keep It Simple

Journal of Investigative Surgery
Surgery
2018English

Robust Estimation of Constrained Covariance Matrices for Confirmatory Factor Analysis

Computational Statistics and Data Analysis
StatisticsProbabilityApplied MathematicsComputational TheoryComputational MathematicsMathematics
2010English

Population Shrinkage of Covariance (PoSCE) for Better Individual Brain Functional-Connectivity Estimation

Medical Image Analysis
Nuclear MedicineComputer GraphicsPattern RecognitionUltrasound TechnologyRadiologicalHealth InformaticsComputer VisionRadiologyComputer-Aided DesignImaging
2019English

Keep It Short and Keep It Cold-Ish

Journal of Thoracic and Cardiovascular Surgery
Respiratory MedicinePulmonaryCardiovascular MedicineSurgeryCardiology
2020English

Modeling and Forecasting Large Realized Covariance Matrices and Portfolio Choice

Journal of Applied Econometrics
EconomicsEconometricsSocial Sciences
2016English

NOVELIST Estimator of Large Correlation and Covariance Matrices and Their Inverses

Test
UncertaintyStatisticsProbability
2018English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2024 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy