Fixed support positive-definite modification of covariance matrix estimators via linear shrinkage (Q2418516)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Fixed support positive-definite modification of covariance matrix estimators via linear shrinkage |
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Fixed support positive-definite modification of covariance matrix estimators via linear shrinkage (English)
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27 May 2019
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covariance matrix
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high-dimensional estimation
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linear minimax classification problem
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linear shrinkage
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portfolio optimization
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positive definiteness
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precision matrix
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