International Monetary Fund

High-Dimensional Covariance Matrix Estimation: Shrinkage Toward a Diagonal Target

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 ...
JSTOR Daily

Parsimonious Covariance Matrix Estimation for Longitudinal Data

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 ...
JSTOR Daily

Accurate Critical Constants for the One-Sided Approximate Likelihood Ratio Test of a Normal Mean Vector When the Covariance Matrix Is Estimated

Tang, Gnecco, and Geller (1989, Biometrika 76, 577-583) proposed an approximate likelihood ratio (ALR) test of the null hypothesis that a normal mean vector equals a null vector against the ...
Risk

The informativeness of risk factor disclosures: estimating the covariance matrix of stock returns using similarity measures

While risk factor disclosures in 10-K filings have been criticized by practitioners as generic and boilerplate, recent studies indicate that these risk reports can be informative. This study ...
Nature

Multiple-trait genome-wide association study based on principal component analysis for residual covariance matrix

Given the drawbacks of implementing multivariate analysis for mapping multiple traits in genome-wide association study (GWAS), principal component analysis (PCA) has been widely used to generate ...