A new estimator of covariance matrix via partial Iwasawa coordinates

DOI10.1007/s11424-017-6007-xzbMath1380.93250OpenAlexW2610842200MaRDI QIDQ1697678

Kai Xu

Publication date: 20 February 2018

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-017-6007-x

zbMATH Keywords

James-Stein estimatorcovariance matrixStein's losspartial Iwasawa coordinatesweighted quadratic loss

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Estimation and detection in stochastic control theory (93E10)

Related Items (1)

Large dynamic covariance matrix estimation with an application to portfolio allocation: a semiparametric reproducing kernel Hilbert space approach

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