Education, Innovation, International, Research
DATAIA Seminar | « Linear pooling of sample covariance matrices » - Esa Ollila
… reduction in estimation error when sample sizes are limited and/or when at least some of the true class covariance … matrix estimation problem. Our approach is general, and is applicable also for complex-valued data. We … estimators via numerical simulation studies and portfolio optimization problem using real historical stock data …Published on: