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 ...

Comparing large covariance matrices has important applications in modern genomics, where scientists are often interested in understanding whether relationships (e.g., dependencies or co-regulations) ...

Graphical Gaussian models with edge and vertex symmetries were introduced by Højsgaard & Lauritzen (2008), who gave an algorithm for computing the maximum likelihood estimate of the precision matrix ...

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 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 ...

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 ...

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