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 estimated covariance matrix of the parameter estimates is computed as the inverse Hessian matrix, and for unconstrained problems it should be positive definite. If the final parameter estimates ...
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 ...
The distribution of the largest latent root of the covariance matrix calculated from a sample from the normal normalitive multivariate population with population covariance matrix σ2 I are presented ...
Some results have been hidden because they may be inaccessible to you
Show inaccessible results
Feedback