"Linear shrinkage estimation of large covariance matrices using factor models."

Yuki Ikeda, Tatsuya Kubokawa (2016)

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DOI: 10.1016/J.JMVA.2016.08.001

access: open

type: Journal Article

metadata version: 2021-02-17

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Yuki Ikeda, Tatsuya Kubokawa:
Linear shrinkage estimation of large covariance matrices using factor models. J. Multivar. Anal. 152: 61-81 (2016)

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