Maximum entropy measurement error estimates of singular covariance matrices in undersized samples
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- Reagle, Derrick P. & Vinod, H. D., 2003. "Inference for negativist theory using numerically computed rejection regions," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 491-512, March.
- Yuan, Ke-Hai & Chan, Wai, 2008. "Structural equation modeling with near singular covariance matrices," Computational Statistics & Data Analysis, Elsevier, vol. 52(10), pages 4842-4858, June.
- Stutzer, Michael, 1995. "A Bayesian approach to diagnosis of asset pricing models," Journal of Econometrics, Elsevier, vol. 68(2), pages 367-397, August.
- 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.
- Wolf, Michael & Ledoit, Olivier, 2000. "A well conditioned estimator for large dimensional covariance matrices," DES - Working Papers. Statistics and Econometrics. WS 10087, Universidad Carlos III de Madrid. Departamento de Estadística.
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