A well-conditioned estimator for large-dimensional covariance matrices
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- Ledoit, Olivier & Wolf, Michael, 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.
References listed on IDEAS
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More about this item
KeywordsCondition number Covariance matrix estimation Empirical Bayes General asymptotics Shrinkage;
StatisticsAccess and download statistics
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