Shrinkage Estimation Techniques for Large Dimensional Data

来源 :上海交通大学 | 被引量 : 0次 | 上传用户：haixinmei

【摘要】

：

【作者】

：

Nestor Parolya Taras Bodnar Arjun K.Gupta Ostap Okhrin Yarema Okhrin

【机构】

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Institute of Econometrics,University of Hannover,D-30167 Hannover,Germany

【出处】

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上海交通大学

【发表日期】

：

2016年4期

【关键词】

：

large covariance matrices mean vector random matrix theory portfolio theory

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　　In this talk we will give a short overview of our recent papers about the estimation of large dimensional objects: large covariance(precision)matrices,the mean vector and large optimal portfolios with their characteristics.Our particular interest covers the case when both the dimension p and the sample size n tend to infinity so that their ratio p/n tends to a positive constant c.

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Shrinkage Estimation Techniques for Large Dimensional Data

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