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Large-dimensional asymptotics
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rotation equivariance
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random matrix theory
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large-dimensional asymptotics
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Ledoit, Olivier
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Optimal estimation of a large-dimensional covariance matrix under Stein's loss
Ledoit, Olivier
;
Wolf, Michael
-
2013
expression of the unbiased estimator of risk under
large-dimensional
asymptotics
, rather than the finite-sample expression …
Persistent link: https://www.econbiz.de/10009748767
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