Discover how to calculate covariance to assess stock relationships and optimize your portfolio, balancing risk and potential ...
Graphical models provide a robust framework for representing the conditional independence structure between variables through networks, enabling nuanced insight into complex high-dimensional data.
This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle Approximating Shrinkage (OAS) of Chen et al. (2009) to target the diagonal elements of ...
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