Honey, I shrunk the sample covariance matrix [PDF]
The central message of this paper is that nobody should be using the sample covariance matrix for the purpose of portfolio optimization. It contains estimation error of the kind most likely to perturb a mean-variance optimizer.
Michael Wolf, Olivier Ledoit
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Covariance matrix estimation methods for constrained portfolio optimization in a South African setting [PDF]
, 2010 One of the major topics of concern in Modern Portfolio Theory is portfolio optimization which is centred on the mean-variance framework. In order for this framework to be implemented, esti- mated parameters (covariance matrix for the constrained portfo ...
Madume, Jaison Pezisai
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554 The covariance of e(k) = [el(k)e2(k)] is i E{e(k)er(k)}=P(k) =-----.
, 2008 The initial conditions for each estimate are and the initial covariance P(0) is a,(0)=22(0)=E{x(O)} =x0 I Equation (22) can be expanded to yield the transition equations for the submatrices of P(k) shown in (21).
Evolves As, The Covariance
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Structural Covariance Analysis Reveals Differences Between Dancers and Untrained Controls. [PDF]
Front Hum Neurosci, 2018 Karpati FJ +4 more
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Influence function and asymptotic efficiency of the affine equivariant rank covariance matrix. [PDF]
Visuri et al (2001) proposed and illustrated the use of the affine equivariant rank covariance matrix (RCM) in classical multivariate inference problems.
Croux, Christophe, Ollila, E, Oja, H
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Extended multimodal whole-brain anatomical covariance analysis: detection of disrupted correlation networks related to amyloid deposition. [PDF]
Heliyon, 2019 Ye C +9 more
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Robust Covariance Matrix Estimation with Data-Dependent VAR Prewhitening Order [PDF]
This paper analyzes the performance of heteroskedasticity-and-autocorrelation-consistent (HAC) covariance matrix estimators in which the residuals are prewhitened using a vector autoregressive (VAR) filter.
Wouter J. den Haan, Andrew T. Levin
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Impact of sex and reproductive status on memory circuitry structure and function in early midlife using structural covariance analysis. [PDF]
Hum Brain Mapp, 2019 Seitz J +9 more
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Exploring Gray Matter Alterations in Post-Stroke Patients: A Structural Covariance Analysis. [PDF]
Brain BehavLu JJ +7 more
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