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Search: subject:"linear and non-linear shrinkage"
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linear and non-linear shrinkage
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Estimation Risk and Shrinkage in Vast-Dimensional Fundamental Factor Models
van Vlodrop, Andries C.
;
Lucas, André
-
2018
about estimation risk in FFMs in high dimensions. We investigate whether recent
linear
and
non-linear
shrinkage
methods help …
Persistent link: https://www.econbiz.de/10012114751
Saved in:
2
Estimation risk and shrinkage in vast-dimensional fundamental factor models
Vlodrop, Andries C. van
;
Lucas, André
-
2018
about estimation risk in FFMs in high dimensions. We investigate whether recent
linear
and
non-linear
shrinkage
methods help …
Persistent link: https://www.econbiz.de/10011949129
Saved in:
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