Search Results - subject:"Inverse covariance"

Stock index pattern discovery viaToeplitz Inverse Covariance-Based Clustering

Ouyang, Hongbing; Wei, Xiaolu; Wu, Quifeng - In: Romanian journal of economic forecasting 23 (2020) 2, pp. 58-72

Persistent link: https://www.econbiz.de/10012422442

On the solution of o-constrained sparse inverse covariance estimation problems

Phan, Dzung T.; Menickelly, Matt - In: INFORMS journal on computing : JOC 33 (2021) 2, pp. 531-550

Persistent link: https://www.econbiz.de/10012546108

Disentangling the role of variance and covariance information in portfolio selection problems

Santos, André A. P. - In: Quantitative finance 19 (2019) 1, pp. 57-76

Persistent link: https://www.econbiz.de/10012194620

Forecasting market states

Procacci, Pier Francesco; Aste, Tomaso - In: Quantitative finance 19 (2019) 9, pp. 1491-1498

Persistent link: https://www.econbiz.de/10012194800

Improving the graphical lasso estimation for the precision matrix through roots ot the sample convariance matrix

Avagyan, Vahe; Alonso, Andrés M.; Nogales, Francisco J. - Departamento de Estadistica, Universidad Carlos III de … - 2014

In this paper, we focus on the estimation of a high-dimensional precision matrix. We propose a simple improvement of the graphical lasso framework (glasso) that is able to attain better statistical performance without sacrificing too much the computational cost. The proposed improvement is based...

Persistent link: https://www.econbiz.de/10010861866

Estimating Individual Mahalanobis Distance in High-Dimensional Data

Dai, Deliang; Holgersson, Thomas; Karlsson, Peter - Centre of Excellence for Science and Innovation … - 2014

covariance matrix on which the MD depends. This is then used to identify the optimal estimate of the inverse covariance matrix … biased corrected versions are available. Moreover, a risk function is derived for finding an optimal estimate of the inverse …

Persistent link: https://www.econbiz.de/10011019085

Estimation of graphical models using the L1,2 norm

Chiong, Khai Xiang; Moon, Hyungsik Roger - In: The econometrics journal 21 (2018) 3, pp. 247-263

Persistent link: https://www.econbiz.de/10012166618

Analysing the information embedded in the optimal mean-variance weights : CAPM versus Bamberg and Dorfleitner model

Bosch-Badia, Maria-Teresa; Montllor i Serrats, Joan; … - In: Review of managerial science 11 (2017) 4, pp. 789-814

Persistent link: https://www.econbiz.de/10011722001

The use of sparse inverse covariance estimation for relationship detection and hypothesis generation in strategic management

Li, Mei; Lin, Ying; Huang, Shuai; Crossland, Craig - In: Strategic management journal 37 (2016) 1, pp. 86-97

Persistent link: https://www.econbiz.de/10011498509

On the weight sign of the global minimum variance portfolio

Chiu, Wan-Yi; Jiang, Ching-hai - In: Finance research letters 19 (2016), pp. 241-246

Persistent link: https://www.econbiz.de/10011657693