Model-Free Estimation of Large Variance Matrices
Year of publication: |
2010-01
|
---|---|
Authors: | Abadir, Karim M. ; Distaso, Walter ; Žikeš, Filip |
Institutions: | Rimini Centre for Economic Analysis (RCEA) |
Subject: | variance matrices | ill-conditioning | mean squared error | mean absolute deviations | resampling |
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