Condition-Number-Regularized Covariance Estimation (Q5743159)
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scientific article; zbMATH DE number 7052664
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Condition-Number-Regularized Covariance Estimation |
scientific article; zbMATH DE number 7052664 |
Statements
Condition-Number-Regularized Covariance Estimation (English)
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9 May 2019
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condition number
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convex optimization
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covariance estimation
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cross-validation
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eigenvalue
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portfolio optimization
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regularization
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risk comparisons
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shrinkage
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