Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle ...
The COV= option must be specified to compute an approximate covariance matrix for the parameter estimates under asymptotic theory for least-squares, maximum-likelihood, or Bayesian estimation, with or ...
We study sample covariance matrices of the form $W=(1/n)CC^{\intercal}$, where C is a k × n matrix with independent and identically distributed (i.i.d.) mean 0 ...
An important problem in multivariate statistics is the estimation of covariance matrices. We consider a class of nonparametric covariance models in which the entries in the covariance matrix depend on ...
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