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"Shrinkage estimation of large covariance matrices: Keep it simple, ..."

Olivier Ledoit, Michael Wolf (2021)

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DOI: 10.1016/J.JMVA.2021.104796

access: closed

type: Journal Article

metadata version: 2021-12-15

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Olivier Ledoit, Michael Wolf:
Shrinkage estimation of large covariance matrices: Keep it simple, statistician? J. Multivar. Anal. 186: 104796 (2021)

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