Tag: covariance-matrix
Concepts
- Cholesky Decomposition
- Choosing a Covariance Shrinkage Target
- Covariance Estimation With Unequal History
- Denoising Correlation Matrices in Practice
- Eigenvalue Clipping and Rotationally Invariant Estimators
- Exponentially Weighted Covariance and Half-Life Choice
- Machine Learning for Covariance Estimation
- Mahalanobis Distance and Multivariate Outliers
- The Marchenko-Pastur Law
- Quadratic and Regularized Discriminant Analysis
- The Sherman-Morrison-Woodbury Formula
- The Sample Covariance Matrix and Eigenvalue Bias
- Variance-Covariance VaR
- The Wishart Distribution