Covariance Matrix The COV= option must be specified to compute an approximate covariance matrix for the parameter estimates under asymptotic theory for least-squares, maximum-likelihood, or Bayesian ...

This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle Approximating Shrinkage (OAS) of Chen et al. (2009) to target the diagonal elements of ...

Eigenvectors of some large sample covariance matrix ensembles. Probability Theory and Related Fields, 151(1–2), 233–264. 2. Potters, M, & Bouchaud, JP (2020). A first course in random matrix theory: ...

This study contributes to the ongoing discussion by investigating whether risk factor disclosures contain valuable information that can be used to improve the estimation of the covariance matrix of ...

Covariance Matrix The estimated covariance matrix of the parameter estimates is computed as the inverse Hessian matrix, and for unconstrained problems it should be positive definite. If the final ...