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 estimation of portfolio value-at-risk (VaR) requires a good estimate of the covariance matrix. As it is well known that a sample covariance matrix based on some historical rolling window is noisy ...
Abstract: This work proposes an efficient, robust adaptive beamforming technique to deal with steering vector (SV) estimation mismatches and data covariance matrix reconstruction problems. In ...
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 ...
We study the asymptotic distributions of the spiked eigenvalues and the largest nonspiked eigenvalue of the sample covariance matrix under a general covariance model with divergent spiked eigenvalues, ...
Abstract: In this paper we develop a new, versatile framework for the design of optimal non-data-aided (NDA) parameter estimators based on the exploitation of the received signal sample covariance ...
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