High‐dimensional covariance matrix estimation using a low‐rank and diagonal decomposition (Q5094335)
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scientific article; zbMATH DE number 7566577
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | High‐dimensional covariance matrix estimation using a low‐rank and diagonal decomposition |
scientific article; zbMATH DE number 7566577 |
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High‐dimensional covariance matrix estimation using a low‐rank and diagonal decomposition (English)
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2 August 2022
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Akaike information criterion
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consistency
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coordinate descent
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eigen-decomposition
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Kullback-Leibler loss
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log-determinant semi-definite programming
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Markowitz portfolio selection
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0.9206364
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0.91825104
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0.9160668
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0.9153364
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0.91343176
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0.9123627
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0.91082287
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