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 ...
We consider estimation of covariance matrices and their inverses (a.k.a. precision matrices) for high-dimensional stationary and locally stationary time series. In the latter case the covariance ...
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 ...
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