Cholesky-based model averaging for covariance matrix estimation (Q5880164)
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scientific article; zbMATH DE number 7660528
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Cholesky-based model averaging for covariance matrix estimation |
scientific article; zbMATH DE number 7660528 |
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Cholesky-based model averaging for covariance matrix estimation (English)
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7 March 2023
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high-dimension
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ensemble estimate
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Cholesky factor
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positive definite
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portfolio strategy
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