High-Dimensional MVDR Beamforming: Optimized Solutions Based on Spiked Random Matrix Models
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DOI: 10.1109/tsp.2018.2799183
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References listed on IDEAS
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Cited by:
- Bodnar, Taras & Parolya, Nestor & Thorsén, Erik, 2023.
"Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?,"
Finance Research Letters, Elsevier, vol. 54(C).
- Taras Bodnar & Nestor Parolya & Erik Thors'en, 2021. "Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?," Papers 2111.12532, arXiv.org.
- Taras Bodnar & Solomiia Dmytriv & Yarema Okhrin & Nestor Parolya & Wolfgang Schmid, 2020. "Statistical inference for the EU portfolio in high dimensions," Papers 2005.04761, arXiv.org.
- Nguyen, An Pham Ngoc & Mai, Tai Tan & Bezbradica, Marija & Crane, Martin, 2023. "Volatility and returns connectedness in cryptocurrency markets: Insights from graph-based methods," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 632(P1).
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