Recent advances in shrinkage-based high-dimensional inference
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Publication:2062777
DOI10.1016/j.jmva.2021.104826zbMath1493.62298OpenAlexW3198220216MaRDI QIDQ2062777
Nestor Parolya, Taras Bodnar, Olha Bodnar
Publication date: 3 January 2022
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2021.104826
covariance matrixshrinkage estimationrandom matrix theoryprecision matrixmean vectorhigh-dimensional asymptoticshigh-dimensional optimal portfolio
Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Hypothesis testing in multivariate analysis (62H15)
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