Efficient estimation of covariance matrices using posterior mode multiple shrinkage
Year of publication: |
2013
|
---|---|
Authors: | Giordani, Paolo ; Mun, Xiuyan ; Kohn, Robert |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 11.2013, 1, p. 154-192
|
Subject: | Schätztheorie | Estimation theory | Korrelation | Correlation | Regressionsanalyse | Regression analysis |
-
Rami, Gaurang, (2020)
-
The analysis of nonstationary time series using regression, correlation and cointegration
Johansen, Søren, (2012)
-
Influence of foreign direct investment on the Romanian economy
Russu, Corneliu, (2018)
- More ...
-
Efficient Estimation of Covariance Matrices using Posterior Mode Multiple Shrinkage
Giordani, Paolo, (2012)
-
Nonparametric regression density estimation using smoothly varying normal mixtures
Villani, Mattias, (2007)
-
Efficient Bayesian inference for multiple change-point and mixture innovation models
Giordani, Paolo, (2006)
- More ...