Linear shrinkage estimation of large covariance matrices using factor models

DOI10.1016/J.JMVA.2016.08.001zbMath1348.62075OpenAlexW2517463029MaRDI QIDQ321913

Yuki Ikeda, Tatsuya Kubokawa

Publication date: 14 October 2016

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2016.08.001

zbMATH Keywords

covariance matrixnormal distributionportfolio managementfactor modelhigh dimensionlarge samplenon-normal distributionridge-type estimatorrisk functionisisis

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Ridge regression; shrinkage estimators (Lasso) (62J07)

Related Items (3)

Ridge-type linear shrinkage estimation of the mean matrix of a high-dimensional normal distribution ⋮ Unnamed Item ⋮ Portfolio selection: shrinking the time-varying inverse conditional covariance matrix

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