On the strong convergence of the optimal linear shrinkage estimator for large dimensional covariance matrix

Author:

Bodnar Taras,Gupta Arjun K.,Parolya Nestor

Funder

German Science Foundation (DFG)

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Numerical Analysis,Statistics and Probability

Reference31 articles.

1. Inferential theory for factor models of large dimensions;Bai;Econometrica,2003

2. On asymptotics of eigenvectors of large sample covariance matrix;Bai;Ann. Probab.,2007

3. Determining the number of factors in approximate factor models;Bai;Econometrica,2002

4. Estimating high dimensional covariance matrices and its applications;Bai;Ann. Econom. Finance,2011

5. Spectral Analysis of Large Dimensional Random Matrices;Bai,2010

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