Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle ...

This article proposes a data-driven method to identify parsimony in the covariance matrix of longitudinal data and to exploit any such parsimony to produce a statistically efficient estimator of the ...

This is a preview. Log in through your library . Abstract We consider a multivariate heavy-tailed stochastic volatility model and analyze the large-sample behavior of its sample covariance matrix. We ...

Graphical models provide a robust framework for representing the conditional independence structure between variables through networks, enabling nuanced insight into complex high-dimensional data.

The BLOCKS statement finds a design that maximizes the determinant |X'AX| of the treatment information matrix, where A depends on the block or covariate model. Alternatively, you can directly specify ...

While risk factor disclosures in 10-K filings have been criticized by practitioners as generic and boilerplate, recent studies indicate that these risk reports can be informative. This study ...