Shrinkage Estimation of Large Covariance Matrices : Keep it Simple, Statistician?
Year of publication: |
2020
|
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Authors: | Ledoit, Olivier |
Other Persons: | Wolf, Michael (contributor) |
Publisher: |
[2020]: [S.l.] : SSRN |
Subject: | Schätztheorie | Estimation theory | Korrelation | Correlation |
Extent: | 1 Online-Ressource (49 p) |
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Series: | University of Zurich, Department of Economics, Working Paper ; No. 327, Revised Version |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 2020 erstellt |
Other identifiers: | 10.2139/ssrn.3421503 [DOI] |
Classification: | C13 - Estimation |
Source: | ECONIS - Online Catalogue of the ZBW |
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