Quadratic shrinkage for large covariance matrices

DOI10.3150/20-BEJ1315OpenAlexW3122045732WikidataQ114038753 ScholiaQ114038753MaRDI QIDQ2137029

Olivier Ledoit, Michael Wolf

Publication date: 16 May 2022

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/journals/bernoulli/volume-28/issue-3/Quadratic-shrinkage-for-large-covariance-matrices/10.3150/20-BEJ1315.full

zbMATH Keywords

kernel estimationlarge-dimensional asymptoticsStein shrinkageinverse shrinkagesignal amplitude

Mathematics Subject Classification ID

Parametric inference (62Fxx) Multivariate analysis (62Hxx) Statistical decision theory (62Cxx)

Related Items

Copula shrinkage and portfolio allocation in ultra-high dimensions

Uses Software

• QuEST

Cites Work

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