International Monetary Fund

High-Dimensional Covariance Matrix Estimation: Shrinkage Toward a Diagonal Target

Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle ...
JSTOR Daily

Least Upper Bound for the Covariance Matrix of a Generalized Least Squares Estimator in Regression with Applications to a Seemingly Unrelated Regression Model and a ...

In a general normal regression model, this paper first derives the least upper bound (LUB) for the covariance matrix of a generalized least squares estimator (GLSE) relative to the covariance matrix ...
Nature

Graphical Models and Covariance Matrix Estimation

Graphical models provide a robust framework for representing the conditional independence structure between variables through networks, enabling nuanced insight into complex high-dimensional data.
JSTOR Daily

On Asymptotics of Eigenvectors of Large Sample Covariance Matrix

Let $\{X_{ij}\}$, i, j =..., be a double array of i.i.d. complex random variables with EX₁₁ = 0, E|X₁₁|² = 1 and E|X₁₁|⁴ < ∞, and let $A_{n}=\frac{1 ...

Beyond 60/40: How Adaptive Asset Allocation Outperforms Traditional Portfolios

Adaptive Asset Allocation boosts returns and manages risk with dynamic, rules-based portfolio strategies. Read here for more insights.