Showing 1 - 3 of 3
Persistent link: https://www.econbiz.de/10002029594
Persistent link: https://www.econbiz.de/10005288104
The maximum entropy covariance matrix is positive definite even when the number of variables p exceeds the sample size n. However, the inverse of this matrix can have stability problems when p is close to n, although these problems tend to disappear as p increases beyond n. We analyze such...
Persistent link: https://www.econbiz.de/10005137982