Optimal Linear Shrinkage Estimator for Large Dimensional Precision Matrix
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References listed on IDEAS
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- Bodnar, Taras & Reiß, Markus, 2016. "Exact and asymptotic tests on a factor model in low and large dimensions with applications," Journal of Multivariate Analysis, Elsevier, vol. 150(C), pages 125-151.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2014-07-05 (Econometrics)
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