Non-parametric shrinkage mean estimation for quadratic loss functions with unknown covariance matrices
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Taras Bodnar & Holger Dette & Nestor Parolya & Erik Thors'en, 2019. "Sampling Distributions of Optimal Portfolio Weights and Characteristics in Low and Large Dimensions," Papers 1908.04243, arXiv.org, revised Aug 2019.
- Bodnar, Taras & Okhrin, Ostap & Parolya, Nestor, 2019.
"Optimal shrinkage estimator for high-dimensional mean vector,"
Journal of Multivariate Analysis,
Elsevier, vol. 170(C), pages 63-79.
- Taras Bodnar & Ostap Okhrin & Nestor Parolya, 2016. "Optimal Shrinkage Estimator for High-Dimensional Mean Vector," Papers 1610.09292, arXiv.org, revised Jul 2018.
More about this item
KeywordsHigh-dimensional data; Shrinkage estimator; Large p small n; U-statistic;
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