通过线性收缩对协方差矩阵估计量进行固定支持正定修正
Fixed support positive-definite modification of covariance matrix estimators via linear shrinkage
Journal of Multivariate Analysis · 2018
被引 15
ABS 3
- Young‐Geun Choi
- Johan Lim 通讯
- Anindya Roy
- Junyong Park
计量经济学统计估计协方差矩阵高维统计数值优化