The COV= option must be specified to compute an approximate covariance matrix for the parameter estimates under asymptotic theory for least-squares, maximum-likelihood, or Bayesian estimation, with or ...

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 ...

This article proposes a data-driven method to identify parsimony in the covariance matrix of longitudinal data and to exploit any such parsimony to produce a statistically efficient estimator of the ...

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 ...

We consider estimation of covariance matrices and their inverses (a.k.a. precision matrices) for high-dimensional stationary and locally stationary time series. In the latter case the covariance ...

Covariance matrix forecasts of financial asset returns are an important component of current practice in financial risk management. A wide variety of models are available for generating such forecasts ...

We consider the problem of finding a valid covariance matrix in the foreign exchange market given an initial nonpositively semidefinite (non-PSD) estimate of such a matrix. The common no-arbitrage ...