Direct Nonlinear Shrinkage Estimation of Large-Dimensional Covariance Matrices

Olivier Ledoit; Michael Wolf

doi:10.2139/ssrn.3047302

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JOURNAL ARTICLE

Direct Nonlinear Shrinkage Estimation of Large-Dimensional Covariance Matrices

Olivier Ledoit Michael Wolf

Year: 2017 Journal: SSRN Electronic Journal Publisher: RELX Group (Netherlands)

DOI: 10.2139/ssrn.3047302

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Keywords:

Shrinkage Covariance Estimation Nonlinear system Estimation of covariance matrices Mathematics Statistics Econometrics Applied mathematics Economics Physics

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Random Matrices and Applications

Physical Sciences → Mathematics → Statistics and Probability

Blind Source Separation Techniques

Physical Sciences → Computer Science → Signal Processing

Sparse and Compressive Sensing Techniques

Physical Sciences → Engineering → Computational Mechanics

Direct Nonlinear Shrinkage Estimation of Large-Dimensional Covariance Matrices

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