Shrinkage for covariance estimation: asymptotics, confidence intervals, bounds and applications in sensor monitoring and finance
Author:
Funder
Deutsche Forschungsgemeinschaft
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://link.springer.com/article/10.1007/s00362-018-1040-y/fulltext.html
Reference21 articles.
1. Andrews DWK (1991) Heteroscedasticity and autocorrelation consistent covariance matrix estimation. Econometrica 69(3):817–858
2. Bai Z, Silverstein JW (2010) Spectral analysis of large dimensional random matrices, 2nd edn. Springer, New York
3. Berkes I, Horváth L, Kokoszka P, Shao Q (2005) Almost sure convergence of the Bartlett estimator. Period Math Hung 51(1):11–25
4. Bollerslev T (1986) Generalized autoregressive conditional heteroskedasticity. J Econom 31:307–327
5. Springer series in statistics;PJ Brockwell,2006
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