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 paper deals with the detection and identification of changepoints among covariances of high-dimensional longitudinal data, where the number of features is greater than both the sample size and ...

Harry Markowitz famously quipped that diversification is the only free lunch in investing. What he did not say is that this is only true if correlations are known and stable over time. Markowitz’s ...

This short paper demonstrates how a covariance matrix estimated using log returns of multiple assets in their respective base currencies can be converted directly into a covariance matrix in a single ...

Graphical models provide a robust framework for representing the conditional independence structure between variables through networks, enabling nuanced insight into complex high-dimensional data.

We study a class of separable sample covariance matrices of the form 𝒬̃1 := Ã1/2 X B̃ X* Ã1/2. Here, Ã and B̃ are positive definite matrices whose spectrums consist of bulk spectrums plus several ...

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Notes: [1] Standard Errors assume that the covariance matrix of the errors is correctly specified. [2] The condition number is large, 4.36e+05. This might indicate that there are strong ...