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 ...
The COV= option must be specified to compute an approximate covariance matrix for the parameter estimates under asymptotic theory for least-squares, maximum-likelihood, or Bayesian estimation, with or ...
We study sample covariance matrices of the form $W=(1/n)CC^{\intercal}$, where C is a k × n matrix with independent and identically distributed (i.i.d.) mean 0 ...
The Annals of Mathematical Statistics, Vol. 27, No. 3 (Sep., 1956), pp. 737-748 (12 pages) The sampling variance of the least squares estimates of the components of variance in an unbalanced ...
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