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 Annals of Statistics, Vol. 40, No. 2 (April 2012), pp. 1024-1060 (37 pages) Many statistical applications require an estimate of a covariance matrix and/or its inverse. When the matrix dimension ...

A flexible method is introduced to model the structure of a covariance matrix C and study the dependence of the covariances on explanatory variables by observing that for any real symmetric matrix A, ...

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