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Linear shrinkage estimation of large covariance matrices using factor models

Linear shrinkage estimation of large covariance matrices using factor models

Ikeda, Yuki; Kubokawa, Tatsuya

期刊名称Journal of Multivariate Analysis
作者Ikeda, Yuki; Kubokawa, Tatsuya
卷第152卷
印刷ISSN0047-259X
文件大小540.44KB
发表时间2016-12
DOI10.1016/j.jmva.2016.08.001
页码61-81

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