Cleaning large-dimensional covariance matrices for correlated samples
Author:
Publisher
American Physical Society (APS)
Link
http://harvest.aps.org/v2/journals/articles/10.1103/PhysRevE.105.034136/fulltext
Reference22 articles.
1. Lattice QCD determination of neutron-antineutron matrix elements with physical quark masses
2. The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?
3. Cleaning large correlation matrices: Tools from Random Matrix Theory
4. Nonlinear Shrinkage of the Covariance Matrix for Portfolio Selection: Markowitz Meets Goldilocks
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