In non-parametric function estimation, providing a confidence band with the right coverage is a challenging problem. This is especially the case when the underlying function has a wide range of unknown degrees of smoothness. Here we propose two methods of constructing an average coverage...

Shrinkage estimation of the covariance matrix of asset returns was introduced to the finance profession several years ago. Since then, the approach has also received considerable attention in various life science studies, as a remedial measure for covariance matrix estimation with insufficient...