Optimal estimation of a large-dimensional covariance matrix under Stein’s loss
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- Ledoit, Olivier & Wolf, Michael, 2004.
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Journal of Multivariate Analysis, Elsevier, vol. 139(C), pages 360-384.
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Cited by:
- Brett Naul & Bala Rajaratnam & Dario Vincenzi, 2016. "The role of the isotonizing algorithm in Stein’s covariance matrix estimator," Computational Statistics, Springer, vol. 31(4), pages 1453-1476, December.
- Olivier Ledoit & Michael Wolf, 2014. "Nonlinear shrinkage of the covariance matrix for portfolio selection: Markowitz meets Goldilocks," ECON - Working Papers 137, Department of Economics - University of Zurich, revised Feb 2017.
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More about this item
Keywords
Large-dimensional asymptotics; nonlinear shrinkage estimation; random matrix theory; rotation equivariance; Stein’s loss;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2013-05-24 (Econometrics)
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