Tag: covariance-estimation
Concepts
- Eigenfactor Bias Adjustment
- Choosing the Estimation Universe
- Estimating the Factor Covariance Matrix
- Learning Shrinkage Intensities From Data
- Nested Clustered Optimization
- Nonlinear Shrinkage of Covariance Eigenvalues
- Orthogonalized Gnanadesikan-Kettenring Covariance
- Random Matrix Theory in Finance
- Short-Horizon vs Long-Horizon Risk Models
- Spiked Covariance Models and the BBP Transition