Search Results - subject:"matrix theory" - EconBiz

Synchronization patterns in the European Union

Guerini, Mattia; Luu, Duc Thi; Napoletano, Mauro - In: Applied economics 55 (2023) 18, pp. 2038-2059

Persistent link: https://www.econbiz.de/10014294856

Shrinkage estimation of large covariance matrices: Keep it simple, statistician?

Ledoit, Olivier; Wolf, Michael - 2020

Under rotation-equivariant decision theory, sample covariance matrix eigenvalues can be optimally shrunk by recombining sample eigenvectors with a (potentially nonlinear) function of the unobservable population covariance matrix. The optimal shape of this function reflects the loss/risk that is...

Persistent link: https://www.econbiz.de/10012166459

The determinants of the U.S. consumer sentiment: Linear and nonlinear models

El Alaoui, Marwane; Bouri, Elie; Azoury, Nehme - In: International Journal of Financial Studies 8 (2020) 3, pp. 1-13

of eigenvalues deviate from the Random Matrix Theory (RMT) and might contain pertinent information. Results from linear …

Persistent link: https://www.econbiz.de/10013200285

Non-commutative probability theory and applications in financet

Breitig, Marco - 2020

Persistent link: https://www.econbiz.de/10012418797

The determinants of the U.S. consumer sentiment : linear and nonlinear models

El Alaoui, Marwane; Bouri, Elie; Azoury, Nehme - In: International Journal of Financial Studies : open … 8 (2020) 3/38, pp. 1-13

of eigenvalues deviate from the Random Matrix Theory (RMT) and might contain pertinent information. Results from linear …

Persistent link: https://www.econbiz.de/10012291710

Shrinkage estimation of large covariance matrices: Keep it simple, statistician?

Ledoit, Olivier; Wolf, Michael - 2019

Under rotation-equivariant decision theory, sample covariance matrix eigenvalues can be optimally shrunk by recombining sample eigenvectors with a (potentially nonlinear) function of the unobservable population covariance matrix. The optimal shape of this function reflects the loss/risk that is...

Persistent link: https://www.econbiz.de/10012040363

Synchronization patterns in the European Union

Guerini, Mattia; Luu, Duc Thi; Napoletano, Mauro - 2019

exploits Random Matrix Theory and extracts the latent information contained in a balanced panel data by cleaning it from …

Persistent link: https://www.econbiz.de/10012389308

Synchronization patterns in the European Union

Guerini, Mattia; Luu, Duc Thi; Napoletano, Mauro - 2019

exploits Random Matrix Theory and extracts the latent information contained in a balanced panel data by cleaning it from …

Persistent link: https://www.econbiz.de/10012111550

Shrinkage estimation of large covariance matrices : keep it simple, statistician?

Ledoit, Olivier; Wolf, Michael - 2019

Under rotation-equivariant decision theory, sample covariance matrix eigenvalues can be optimally shrunk by recombining sample eigenvectors with a (potentially nonlinear) function of the unobservable population covariance matrix. The optimal shape of this function reflects the loss/risk that is...

Persistent link: https://www.econbiz.de/10012030045

Synchronization patterns in the European Union

Guerini, Mattia; Luu, Duc Thi; Napoletano, Mauro - 2019

Persistent link: https://www.econbiz.de/10012233615

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