On the Strong Convergence of the Optimal Linear Shrinkage Estimator for
Large Dimensional Covariance Matrix

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On the Strong Convergence of the Optimal Linear Shrinkage Estimator for Large Dimensional Covariance Matrix

12 August 2013

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Papers citing "On the Strong Convergence of the Optimal Linear Shrinkage Estimator for Large Dimensional Covariance Matrix"

16 / 16 papers shown

Title
Joint Estimation of Conditional Mean and Covariance for Unbalanced Panels Damir Filipović P. Schneider 75 0 0 29 Oct 2024
Consistent Estimation of the High-Dimensional Efficient Frontier Taras Bodnar Nikolaus Hautsch Yarema Okhrin Nestor Parolya 48 0 0 23 Sep 2024
Reviving pseudo-inverses: Asymptotic properties of large dimensional Moore-Penrose and Ridge-type inverses with applications Taras Bodnar Nestor Parolya 70 0 0 23 Mar 2024
Linear shrinkage for optimization in high dimensions Naqi Huang Nestor Parolya Thereisa van Essen 65 0 0 28 Feb 2024
Neural Networks Learn Statistics of Increasing Complexity Nora Belrose Quintin Pope Lucia Quirke Alex Troy Mallen Xiaoli Z. Fern 68 11 0 06 Feb 2024
Two is better than one: Regularized shrinkage of large minimum variance portfolio Taras Bodnar Nestor Parolya Erik Thorsén 85 4 0 14 Feb 2022
Dynamic Shrinkage Estimation of the High-Dimensional Minimum-Variance Portfolio Taras Bodnar Nestor Parolya Erik Thorsén 42 5 0 03 Jun 2021
Statistical inference for the EU portfolio in high dimensions Taras Bodnar Solomiia Dmytriv Yarema Okhrin Nestor Parolya W. Schmid 27 14 0 10 May 2020
Ridge-type Linear Shrinkage Estimation of the Matrix Mean of High-dimensional Normal Distribution Ryota Yuasa T. Kubokawa 30 0 0 26 Oct 2019
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 Taras Bodnar Holger Dette Nestor Parolya 53 36 0 13 Aug 2017
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 Taras Bodnar S. Mazur Nestor Parolya 48 14 0 17 Feb 2016
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
Estimation of the Global Minimum Variance Portfolio in High Dimensions Taras Bodnar Nestor Parolya W. Schmid 83 85 0 02 Jun 2014
Optimal Linear Shrinkage Estimator for Large Dimensional Precision Matrix Taras Bodnar Arjun K. Gupta Nestor Parolya 162 52 0 05 Aug 2013