Improved Calibration of High-Dimensional Precision Matrices

DOI10.1109/TSP.2012.2236321zbMATH Open1393.94520MaRDI QIDQ4578465

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Publication date: 22 August 2018

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Related Items (3)

Sample and realized minimum variance portfolios: estimation, statistical inference, and tests ⋮ Bandwidth selection for large covariance and precision matrices ⋮ Recent advances in shrinkage-based high-dimensional inference

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