Ledoit, Olivier; Wolf, Michael - Institut für Volkswirtschaftslehre, … - 2013
This paper introduces a new method for deriving covariance matrix estimators that are decision-theoretically optimal …. The key is to employ large-dimensional asymptotics: the matrix dimension and the sample size go to infinity together, with … "isotonization") to restore the positivity or the ordering of the covariance matrix eigenvalues; (3) it does not ignore any terms in …