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 ...
In multivariate analysis, the covariance matrix associated with a set of variables of interest (namely response variables) commonly contains valuable information about the dataset. When the dimension ...
Some results have been hidden because they may be inaccessible to you
Show inaccessible results
Feedback