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Optimal Linear Shrinkage Estimator for Large Dimensional Precision Matrix
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Optimal Linear Shrinkage Estimator for Large Dimensional Precision Matrix

Taras Bodnar
Arjun K. Gupta
Nestor Parolya
ArXiv (abs)PDFHTML

Papers citing "Optimal Linear Shrinkage Estimator for Large Dimensional Precision Matrix"

12 / 12 papers shown
Title
Testing Sparsity Assumptions in Bayesian Networks
Testing Sparsity Assumptions in Bayesian Networks
Luke Duttweiler
Sally W. Thurston
A. Almudevar
53
0
0
12 Jul 2023
High-dimensional Precision Matrix Estimation with a Known Graphical Structure
High-dimensional Precision Matrix Estimation with a Known Graphical Structure
Thi-Tinh-Minh Le
Pingshou Zhong
50
6
0
28 Jun 2021
Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio
Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio
Taras Bodnar
Nestor Parolya
Erik Thorsén
42
5
0
03 Jun 2021
Rejoinder: On nearly assumption-free tests of nominal confidence interval coverage for causal parameters estimated by machine learning
Rejoinder: On nearly assumption-free tests of nominal confidence interval coverage for causal parameters estimated by machine learning
Lin Liu
Rajarshi Mukherjee
J. M. Robins
CML
71
16
0
07 Aug 2020
Statistical inference for the EU portfolio in high dimensions
Statistical inference for the EU portfolio in high dimensions
Taras Bodnar
Solomiia Dmytriv
Yarema Okhrin
Nestor Parolya
W. Schmid
24
14
0
10 May 2020
Optimal Covariance Estimation for Condition Number Loss in the Spiked Model
Optimal Covariance Estimation for Condition Number Loss in the Spiked Model
D. Donoho
Behrooz Ghorbani
141
7
0
17 Oct 2018
Tests for the weights of the global minimum variance portfolio in a high-dimensional setting
Tests for the weights of the global minimum variance portfolio in a high-dimensional setting
Taras Bodnar
Solomiia Dmytriv
Nestor Parolya
W. Schmid
48
25
0
26 Oct 2017
Testing for Independence of Large Dimensional Vectors
Testing for Independence of Large Dimensional Vectors
Taras Bodnar
Holger Dette
Nestor Parolya
51
36
0
13 Aug 2017
Discriminant analysis in small and large dimensions
Discriminant analysis in small and large dimensions
Taras Bodnar
S. Mazur
E. Ngailo
Nestor Parolya
54
7
0
08 May 2017
Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix-variate location mixture of normal distributions
Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix-variate location mixture of normal distributions
Taras Bodnar
S. Mazur
Nestor Parolya
48
14
0
17 Feb 2016
Spectral analysis of the Moore-Penrose inverse of a large dimensional sample covariance matrix
Spectral analysis of the Moore-Penrose inverse of a large dimensional sample covariance matrix
Taras Bodnar
Holger Dette
Nestor Parolya
47
12
0
21 Sep 2015
Exact and Asymptotic Tests on a Factor Model in Low and Large Dimensions with Applications
Exact and Asymptotic Tests on a Factor Model in Low and Large Dimensions with Applications
Taras Bodnar
M. Reiß
85
16
0
02 Jul 2014