Improved Large Covariance Matrix Estimation Based on Efficient Convex Combination and Its Application in Portfolio Optimization
The estimation of the covariance matrix is an important topic in the field of multivariate statistical analysis. In this paper, we propose a new estimator, which is a convex combination of the linear shrinkage estimation and the rotation-invariant estimator under the Frobenius norm. We first obtain...
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| Hauptverfasser: | , , , |
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| Format: | Artigo |
| Sprache: | Inglês |
| Veröffentlicht: |
MDPI AG
2022-11-01
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| Schriftenreihe: | Mathematics |
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| Online-Zugang: | https://www.mdpi.com/2227-7390/10/22/4282 |
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