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Condition-number-regularized covariance estimation

Author

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  • Joong-Ho Won
  • Johan Lim
  • Seung-Jean Kim
  • Bala Rajaratnam

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  • Joong-Ho Won & Johan Lim & Seung-Jean Kim & Bala Rajaratnam, 2013. "Condition-number-regularized covariance estimation," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 75(3), pages 427-450, June.
    • Handle: RePEc:bla:jorssb:v:75:y:2013:i:3:p:427-450
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    File URL: http://hdl.handle.net/10.1111/j.1467-9868.2012.01049.x
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    References listed on IDEAS

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    1. Ledoit, Olivier & Wolf, Michael, 2004. "A well-conditioned estimator for large-dimensional covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 88(2), pages 365-411, February.
    2. Michael J. Daniels & Robert E. Kass, 2001. "Shrinkage Estimators for Covariance Matrices," Biometrics, The International Biometric Society, vol. 57(4), pages 1173-1184, December.
    3. Ledoit, Olivier & Wolf, Michael, 2003. "Improved estimation of the covariance matrix of stock returns with an application to portfolio selection," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 603-621, December.
    4. Warton, David I., 2008. "Penalized Normal Likelihood and Ridge Regularization of Correlation and Covariance Matrices," Journal of the American Statistical Association, American Statistical Association, vol. 103, pages 340-349, March.
    5. Pourahmadi, Mohsen & Daniels, Michael J. & Park, Trevor, 2007. "Simultaneous modelling of the Cholesky decomposition of several covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 98(3), pages 568-587, March.
    6. Peng, Jie & Wang, Pei & Zhou, Nengfeng & Zhu, Ji, 2009. "Partial Correlation Estimation by Joint Sparse Regression Models," Journal of the American Statistical Association, American Statistical Association, vol. 104(486), pages 735-746.
    7. Merton, Robert C., 1980. "On estimating the expected return on the market : An exploratory investigation," Journal of Financial Economics, Elsevier, vol. 8(4), pages 323-361, December.
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    Citations

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    Cited by:

    1. Jianqing Fan & Yuan Liao & Martina Mincheva, 2013. "Large covariance estimation by thresholding principal orthogonal complements," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 75(4), pages 603-680, September.
    2. Hannart, Alexis & Naveau, Philippe, 2014. "Estimating high dimensional covariance matrices: A new look at the Gaussian conjugate framework," Journal of Multivariate Analysis, Elsevier, vol. 131(C), pages 149-162.
    3. repec:spr:comgts:v:16:y:2019:i:3:d:10.1007_s10287-019-00344-6 is not listed on IDEAS
    4. Brett Naul & Bala Rajaratnam & Dario Vincenzi, 2016. "The role of the isotonizing algorithm in Stein’s covariance matrix estimator," Computational Statistics, Springer, vol. 31(4), pages 1453-1476, December.
    5. repec:wly:mgtdec:v:39:y:2018:i:6:p:698-711 is not listed on IDEAS
    6. repec:bla:jorssc:v:67:y:2018:i:5:p:1419-1436 is not listed on IDEAS
    7. repec:eee:jmvana:v:171:y:2019:i:c:p:234-249 is not listed on IDEAS
    8. van Wieringen, Wessel N. & Peeters, Carel F.W., 2016. "Ridge estimation of inverse covariance matrices from high-dimensional data," Computational Statistics & Data Analysis, Elsevier, vol. 103(C), pages 284-303.
    9. Morana, Claudio, 2019. "Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices," Econometrics and Statistics, Elsevier, vol. 12(C), pages 42-65.
    10. Soufiane Hayou, 2017. "On the overestimation of the largest eigenvalue of a covariance matrix," Papers 1708.03551, arXiv.org.
    11. Rajaratnam, Bala & Salzman, Julia, 2013. "Best permutation analysis," Journal of Multivariate Analysis, Elsevier, vol. 121(C), pages 193-223.
    12. Viet Anh Nguyen & Daniel Kuhn & Peyman Mohajerin Esfahani, 2018. "Distributionally Robust Inverse Covariance Estimation: The Wasserstein Shrinkage Estimator," Papers 1805.07194, arXiv.org.
    13. Abadir, Karim M. & Distaso, Walter & Žikeš, Filip, 2014. "Design-free estimation of variance matrices," Journal of Econometrics, Elsevier, vol. 181(2), pages 165-180.
    14. Kwon, Yongchan & Choi, Young-Geun & Park, Taesung & Ziegler, Andreas & Paik, Myunghee Cho, 2017. "Generalized estimating equations with stabilized working correlation structure," Computational Statistics & Data Analysis, Elsevier, vol. 106(C), pages 1-11.

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