Estimating high dimensional covariance matrices and its applications

Jushan Bai; Shuzhong Shi

Year of publication:	2011
Authors:	Bai, Jushan ; Shi, Shuzhong
Publisher:	Washington, DC : Inter-American Development Bank, Research Dep.
Subject:	Faktorenanalyse \| Factor analysis \| Hauptkomponentenanalyse \| Principal component analysis \| Dekompositionsverfahren \| Decomposition method \| Lineare Algebra \| Linear algebra \| Momentenmethode \| Method of moments \| Bayes-Statistik \| Bayesian inference \| Portfolio-Management \| Portfolio selection \| CAPM

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