Optimal estimation of a large-dimensional covariance matrix under Stein's loss
Year of publication: |
March 2017 ; Revised version, March 2017
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Authors: | Ledoit, Olivier ; Wolf, Michael |
Publisher: |
Zurich : University of Zurich, Department of Economics |
Subject: | Large-dimensional asymptotics | nonlinear shrinkage estimation | random matrix theory | rotation equivariance | Stein's loss | Lineare Algebra | Linear algebra | Monte-Carlo-Simulation | Monte Carlo simulation | Schätztheorie | Estimation theory |
Extent: | 1 Online-Ressource (circa 64 Seiten) Illustrationen |
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Series: | Working paper series / University of Zurich, Department of Economics. - Zurich : [Verlag nicht ermittelbar], ISSN 1664-705X, ZDB-ID 2625625-3. - Vol. no. 122 rev. |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Other identifiers: | 10.5167/uzh-78074 [DOI] hdl:10419/162405 [Handle] |
Classification: | C13 - Estimation |
Source: | ECONIS - Online Catalogue of the ZBW |
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