Filtering time-dependent covariance matrices using time-independent eigenvalues (Q5880290)
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scientific article; zbMATH DE number 7660794
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Filtering time-dependent covariance matrices using time-independent eigenvalues |
scientific article; zbMATH DE number 7660794 |
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Filtering time-dependent covariance matrices using time-independent eigenvalues (English)
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7 March 2023
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covariance matrix filtering
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random matrix theory
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non-linear shrinkage
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average oracle
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