Ledoit, Olivier; Wolf, Michael - In: Journal of Multivariate Analysis 88 (2004) 2, pp. 365-411
Many applied problems require a covariance matrix estimator that is not only invertible, but also well-conditioned (that is, inverting it does not amplify estimation error). For large-dimensional covariance matrices, the usual estimator--the sample covariance matrix--is typically not...