Nonlinear shrinkage estimation of large-dimensional covariance matrices

Annals of Statistics

Volumn 40, Issue 2, 2012, Pages 1024-1060

  Ledoit, Olivier ^a   Wolf, Michael ^a  

^a UNIVERSITY OF ZURICH   (Switzerland)

Author keywords

Large dimensional asymptotics; Nonlinear shrinkage; Rotation equivariance

Indexed keywords

EID: 84872012313     PISSN: 00905364     EISSN: None     Source Type: Journal    
DOI: 10.1214/12-AOS989     Document Type: Article

References (24)

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