An overview of the estimation of large covariance and precision matrices
Author:
Affiliation:
1. Department of Operations Research and Financial Engineering, Princeton University Princeton College Park MD, 20742, USA
2. Department of Mathematics, University of Maryland, College Park, MD 20742, USA
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics
Link
http://academic.oup.com/ectj/article-pdf/19/1/C1/27682937/ectj00c1.pdf
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