Recent advances in shrinkage-based high-dimensional inference
type: Item
instance of: scholarly article
title: Recent advances in shrinkage-based high-dimensional inference
zbMATH Open document ID: 1493.62298
author: Olha Bodnar
author: Taras Bodnar
author: Nestor Parolya
published in: Journal of Multivariate Analysis
publication date: 2022-01-03T00:00:00Z
Mathematics Subject Classification ID: 62H12
Mathematics Subject Classification ID: 62F12
Mathematics Subject Classification ID: 62H15
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 7451348
zbMATH Keywords: covariance matrix
zbMATH Keywords: high-dimensional asymptotics
zbMATH Keywords: high-dimensional optimal portfolio
zbMATH Keywords: mean vector
zbMATH Keywords: precision matrix
zbMATH Keywords: random matrix theory
zbMATH Keywords: shrinkage estimation
describes a project that uses: HDShOP
describes a project that uses: DOSPortfolio
MaRDI profile type: Publication
full work available at URL: j.jmva.2021.104826
OpenAlex ID: W3198220216
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Recent advances in shrinkage-based high-dimensional inference (cites work)
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Recent advances in shrinkage-based high-dimensional inference (cites work)
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Recent advances in shrinkage-based high-dimensional inference (cites work)
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Recent advances in shrinkage-based high-dimensional inference (DOI)
DOI: 10.1016/J.JMVA.2021.104826