How Close is the Sample Covariance Matrix to the Actual Covariance Matrix?
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DOI: 10.1007/s10959-010-0338-z
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- Chao, Shih-Kang & Härdle, Wolfgang Karl & Yuan, Ming, 2020. "Factorisable Multitask Quantile Regression," IRTG 1792 Discussion Papers 2020-004, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Chao, Shih-Kang & Härdle, Wolfgang Karl & Yuan, Ming, 2016. "Factorisable multi-task quantile regression," SFB 649 Discussion Papers 2016-057, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
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Keywords
Sample covariance matrices; Estimation of covariance matrices; Random matrices with independent columns;All these keywords.
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