covariance estimation - Robuta Search

https://ideas.repec.org/p/pra/mprapa/38697.html Large covariance estimation by thresholding principal orthogonal complements Downloadable! This paper deals with estimation of high-dimensional covariance with a conditional sparsity structure, which is the composition of a low-rank... covariance estimation large thresholding principal orthogonal https://ideas.repec.org/a/cup/jfinqa/v24y1989i03p333-355_01.html Consistent Covariance Matrix Estimation with Cross-Sectional Dependence and Heteroskedasticity in... Downloadable! This paper provides a simple method to account for heteroskedasticity and cross-sectional dependence in samples with large cross sections and... covariance matrix cross sectional consistent estimation https://www.ets.org/research/policy_research_reports/publications/report/1970/hqka.html Estimation and Hypothesis-Testing for a Generalized Factor Analysis Based on Residual Covariance... In a generalized factor model based on residual covariance matrices of prescribed structure, maximum likelihood estimates of the model parameters, and a... https://openreview.net/forum?id=PpI7XvOXkF A Spectral Algorithm for List-Decodable Covariance Estimation in Relative Frobenius Norm |... https://www.econstor.eu/handle/10419/214187 EconStor: Shrinkage estimation of large covariance matrices: Keep it simple, statistician? EconStor is a publication server for scholarly economic literature, provided as a non-commercial public service by the ZBW. keep it simple covariance matrices econstor shrinkage estimation https://www.econstor.eu/handle/10419/200186 EconStor: The power of (non-)linear shrinking: A review and guide to covariance matrix estimation EconStor is a publication server for scholarly economic literature, provided as a non-commercial public service by the ZBW. https://arxiv.org/abs/2510.06815 [2510.06815] Inference in pseudo-observation-based regression using (biased) covariance estimation... Abstract page for arXiv paper 2510.06815: Inference in pseudo-observation-based regression using (biased) covariance estimation and naive bootstrapping pseudo observation https://ideas.repec.org/p/cte/wsrepe/10089.html Improved estimation of the covariance matrix of stock returns with an application to portfolio... Downloadable! This paper proposes to estimate the covariance matrix of stock returns by an optimally weighted average of two existing estimators. The sample... https://arxiv.org/abs/2512.01070 [2512.01070] Covariance Estimation for Matrix-variate Data via Fixed-rank Core Covariance Geometry Abstract page for arXiv paper 2512.01070: Covariance Estimation for Matrix-variate Data via Fixed-rank Core Covariance Geometry https://ideas.repec.org/p/fip/fednsr/39.html Consistent covariance matrix estimation in probit models with autocorrelated errors Downloadable! Some recent time-series applications use probit models to measure the forecasting power of a set of variables. Correct inferences about the... covariance matrix consistent estimation probit models https://openreview.net/forum?id=Ins2PbraMw Online Covariance Matrix Estimation in Stochastic Inexact Newton Methods | OpenReview We aim to study the practical statistical inference of the online second-order Newton method for general unconstrained stochastic optimization problems under... covariance matrix online estimation stochastic newton https://www.econstor.eu/handle/10419/214188 EconStor: The power of (non-)linear shrinking: A review and guide to covariance matrix estimation EconStor is a publication server for scholarly economic literature, provided as a non-commercial public service by the ZBW. https://ideas.repec.org/a/spr/psycho/v45y1980i3p309-324.html Estimation of covariance structure models with parameters subject to functional restraints Downloadable (with restrictions)! No abstract is available for this item. structure models subject to estimation covariance