A well conditioned estimator for large dimensional covariance matrices
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- 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.
References listed on IDEAS
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More about this item
KeywordsCovariance matrix estimation;
StatisticsAccess and download statistics
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