A well-conditioned estimator for large-dimensional covariance matrices

Journal of Multivariate Analysis

Volumn 88, Issue 2, 2004, Pages 365-411

  Ledoit, Olivier ^a,b   Wolf, Michael ^c  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b Credit Suisse USA   (United States)

^c DEPARTMENT OF ECONOMICS AND BUSINESS   (Spain)

Author keywords

Condition number; Covariance matrix estimation; Empirical Bayes; General asymptotics; Shrinkage

Indexed keywords

EID: 0346961488     PISSN: 0047259X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0047-259X(03)00096-4     Document Type: Article

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